Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis

Almeida, Dora; Dionísio, Andreia; Ferreira, Paulo Jorge Silveira; Isabel Vieira

http://hdl.handle.net/10400.26/50720

Use this identifier to reference this record.

Name:	Description:	Size:	Format:
fintech-02-00017.pdf		2.82 MB	Adobe PDF	Download

Send Feedback

Authors

Almeida, Dora

Dionísio, Andreia

Ferreira, Paulo Jorge Silveira

Isabel Vieira

Abstract(s)

Extraordinary events, regardless of their financial or non-financial nature, are a great challenge for financial stability. This study examines the impact of one such occurrence—the COVID19 pandemic—on cryptocurrency markets. A detrended cross-correlation analysis was performed to evaluate how the links between 16 cryptocurrencies were changed by this event. Cross-correlation coefficients that were calculated before and after the onset of the pandemic were compared, and the statistical significance of their variation was assessed. The analysis results show that the markets of the assessed cryptocurrencies became more integrated. There is also evidence to suggest that the pandemic crisis promoted contagion, mainly across short timescales (with a few exceptions of non-contagion across long timescales). We conclude that, in spite of the distinct characteristics of cryptocurrencies, those in our sample offered no protection against the financial turbulence provoked by the COVID-19 pandemic, and thus, our study provided yet another example of ‘correlations breakdown’ in times of crisis.