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Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market
International Review of Financial Analysis ; : 101613, 2020.
Article in English | ScienceDirect | ID: covidwho-880515
ABSTRACT
In the wake of recent pandemic of COVID-19, we explore its unprecedented impact on the cryptocurrencies' market. Specifically, we check how the changing intensity of the COVID-19 represented by the daily addition in new infections worldwide affects the daily returns of the top 10 cryptocurrencies according to the market capitalization. The results from Quantile-on-Quantile Regression (QQR) approach reveal that the changing intensity levels of the COVID-19 affect the Bearish and the Bullish market scenarios of cryptocurrencies differently (asymmetric impact). Additionally, there are differences between these currencies in their responses to the changing levels of this pandemic's intensity. Most of the currencies absorbed the small shocks of COVID-19 by registering positive gains but failed to resist against the huge changes except Bitcoin, ADA, CRO, and up to some extent Ethereum also. Our results reveal new and asymmetric dynamics of this emerging asset class against an extremely stressful and unpredictable event (COVID-19). Moreover, these results are robust to the use of alternative proxy (COVID-19 deaths) for pandemic intensity. Our findings help to improve investors and policymakers' understanding of the cryptocurrencies' market dynamics, especially in the times of extremely stressful and unseen events.

Full text: Available Collection: Databases of international organizations Database: ScienceDirect Language: English Journal: International Review of Financial Analysis Year: 2020 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Language: English Journal: International Review of Financial Analysis Year: 2020 Document Type: Article