Cryptocurrency spectrum and 2020 pandemic: Contagion analysis

ABSTRACT

While several studies evaluate the impacts of the novel coronavirus pandemic on different markets, it is worth the while to also examine its contagion (fractal) effect on the top (based on their market capitalization) twenty cryptocurrency markets. These cryptocurrency markets' information (return and volatility) were sampled for both the ex-ante and ex-post coronavirus outbreak periods for this event study analysis. The detrended cross-correlation approaches are employed for both the main and robustness analyses. The results are robust and confirm a significant fractal contagion effect of the pandemic on the cryptocurrency space through their return and volatility. The contagion effect is relatively stronger for the crypto markets' volatilities compared to the returns, nonetheless. Hence, this study supports the contagious effect of the coronavirus pandemic on the cryptocurrency markets and its policy implications for investors in the crypto space. © 2022 Elsevier Inc.