| Autor: |
Kais Ben-Ahmed, Saliha Theiri, Naziha Kasraoui |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Heliyon, Vol 9, Iss 8, Pp e18847- (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2405-8440 |
| DOI: |
10.1016/j.heliyon.2023.e18847 |
| Popis: |
This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional correlation (DCC) approach to daily cryptocurrency values observed data during the January-December, 2020 period. Moreover, we used the Granger causality test to study return-volume correlations. The findings indicate that cryptocurrency volatility declined after the World Health Organization declared on March 11, 2020, that the coronavirus was a pandemic. Unlike most of the relevant previous studies, we found that the COVID-19 crisis did not have a long-term effect on cryptocurrency returns and volatility but only presented a short-term effect. Our results have implications for investors who need to determine an optimal portfolio for a scenario other than the base. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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