PropertyValue
?:abstract
  • Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin, and Ethereum-Litecoin pairs The volatility transmission is not significant between cryptocurrencies during the pre-COVID-19 period We also find that the volatility spillover is unidirectional from Bitcoin to Ethereum and bidirectional between Ethereum and Litecoin during the COVID-19 period Moreover, volatility transmission is not significant between Bitcoin and Litecoin during the COVID-19 period The dynamic conditional correlations between all pairs of cryptocurrencies are higher during the COVID-19 period than during the pre-COVID-19 period Lastly, we compute the optimal portfolio weights, time-varying hedge ratios, and hedging effectiveness for all pairs of cryptocurrencies during the pre-COVID-19 and COVID-19 periods Overall, our findings provide new insights into channels of information transmission, which may improve the investment decisions and trading strategies of portfolio investors during crisis and non-crisis periods
is ?:annotates of
?:creator
?:journal
  • Borsa_Istanbul_Review
?:license
  • unk
?:publication_isRelatedTo_Disease
?:source
  • WHO
?:title
  • The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: evidence from the VAR-DCC-GARCH approach
?:type
?:who_covidence_id
  • #846781
?:year
  • 2020

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