ABSTRACT
In this paper, we study how the comovement between cryptocurrencies and the U.S. inflation expectation rates has changed during the post-reopening of the U.S. economy after the Covid-19 crisis. To do so, we develop a new concept of "exceedance co-kurtosis” which allows us to quantify asymmetry in strong comovement between each cryptocurrency and the inflation expectation rate. The key findings are as follows. First, we show the change in the co-kurtosis asymmetry for major cryptocurrencies: the downside co-kurtosis was higher than the upside co-kurtosis but it decreased after the reopening of the economy. Although the unconditional correlations between cryptocurrencies and the inflation expectation rates remain very low, our results indicate that the major cryptocurrencies become a slightly better inflation hedge after the reopening. Second and more interestingly, the results do not depend on whether a cryptocurrency has a cap on maximum supply or not. Therefore, treating the major cryptocurrencies as digital commodities could be misleading from the viewpoint of portfolio optimization. © 2023
ABSTRACT
Purpose: This article aims to uncover the impact of Google Trends on cryptocurrency markets beyond Bitcoin during the time of increased attention to altcoins, especially during the COVID-19 pandemic. Design/methodology/approach: This paper analyses the nexus among the Google Trends and six cryptocurrencies, namely Bitcoin, New Economy Movement (NEM), Dash, Ethereum, Ripple and Litecoin by utilizing the causality-in-quantiles technique on data comprised of the years January 2016–March 2021. Findings: The findings show that Google Trends cause the Litecoin, Bitcoin, Ripple, Ethereum and NEM prices at majority of the quantiles except for Dash. Originality/value: The findings will help investors to develop more in-depth understanding of impact of Google Trends on cryptocurrency prices and build successful trading strategies in a more matured digital assets ecosystem. © 2022, Emerald Publishing Limited.
ABSTRACT
This paper is the first to examine the reaction of the cryptocurrency market to COVID-19 in terms of volatility resilience. Seven GARCH-type models are used to measure, predict, and audit the volatility behavior of the most eminent cryptocurrencies that represent almost 60% of the total crypto market namely, Bitcoin (BTC), Ripple (XRP), Litecoin (LTC), Monero (XMR), Dash (DASH), and Dogecoin (DOGE). The in-sample period extends from January 1, 2015 up to November 30, 2019 and the out-of-sample period covers the COVID-19 period spanning from December 1, 2019 up to April 6, 2021. Results showed that CGARCH (1,1) and GARCH (1,1) are the prevailing models to forecast the volatility of Bitcoin and Ripple respectively in both the in- and out-of-sample periods and that advanced GARCH models appear to better predict asymmetries in cryptocurrencies’ volatilities pre and post COVID-19. Also, the COVID-19 contributed in significantly affecting the volatility of Bitcoin, Ripple, Monero and Dash. © 2022, Springer Nature Switzerland AG.
ABSTRACT
The COVID-19 global pandemic has disrupted business-as-usual, hence, affecting sustained economic development across countries. However, it appears economic uncertainty following COVID-19 containment measures favor market signals of cryptocurrencies. Here, this study empirically and structurally investigates the implication of COVID-19 health outcomes on market prices of Bitcoin, Bitcoin Cash, Ethereum, and Litecoin. Evidence from the novel Romano-Wolf multiple hypotheses reveal COVID-19 shocks spur Litecoin by 3.20-3.84%, Bitcoin by 2.71-3.27%, Ethereum by 1.43-1.75%, and Bitcoin Cash by 1.34-1.62%.