High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis

51 Pages Posted: 28 Jun 2021 Last revised: 14 Jul 2021

See all articles by Paraskevi Katsiampa

Paraskevi Katsiampa

University of Sheffield

Larisa Yarovaya

University of Southampton - Southampton Business School

Damian Zięba

University of Warsaw, Faculty of Economic Sciences

Date Written: June 21, 2021

Abstract

In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of the most-tradable crypto assets using high-frequency data for the period from January 2019 to December 2020. We apply the Diagonal-BEKK model to data from the pre-COVID and COVID-19 periods, and identify significant changes in patterns of co-movements and correlations during the pandemic period. We also employ the Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG) methods to study the changes of the crypto asset network structure after the COVID-19 outbreak. While the influential role of Bitcoin in the digital asset ecosystem has been confirmed, our novel findings reveal that due to recent developments in the blockchain ecosystem, crypto assets that can be categorised as dApps and Protocols have become more attractive to investors than pure cryptocurrencies, with dApps exhibiting the highest average degree of correlations with all crypto assets in the sample during the COVID-19 pandemic period.

Keywords: COVID-19, High-frequency co-movements, Bitcoin, Protocols, Cryptocurrencies

JEL Classification: C32, C58, G1

Suggested Citation

Katsiampa, Paraskevi and Yarovaya, Larisa and Zięba, Damian, High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis (June 21, 2021). Available at SSRN: https://ssrn.com/abstract=3871405 or http://dx.doi.org/10.2139/ssrn.3871405

Paraskevi Katsiampa

University of Sheffield ( email )

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

Damian Zięba (Contact Author)

University of Warsaw, Faculty of Economic Sciences ( email )

ul. Dluga 44/50
Warsaw, Mazowieckie 00-241
Poland

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