Template-Type: ReDIF-Article 1.0
Author-Name:  Asad Ul Islam
Author-Email: asad.khan@ihu.edu.tr
Author-Workplace-Name: Department of Economics, Ibn Haldun University, Istanbul, Turkiye
Author-Name: William Bwando
Author-Email: william.bwando@stu.ihu.edu.tr
Author-Workplace-Name: Department of Economics, Ibn Haldun University, Istanbul, Turkiye
Title:  Are the Crypto Markets Shock Resilient to COVID-19? A Comparative Investigation of Trading Prices and Volumes
Abstract: The aim of this study is to explore and investigate empirically the impact of Covid-19 pandemic on price and volume dynamics in crypto markets. The 
study makes use of two data samples, but these samples are analyzed separately and independently. The first sample consists of top five crypto currencies in 
terms of market capitalization (Bitcoin, Ethereum, XRP, Binance coin and Litecoin) as of 7 November 2020. The second one is made up of the bottom five crypto 
currencies among the top 40 crypto currencies (FTX Token, Huobi Token, Filecoin, Dash and Decreed) as of 7 November 2020 again. The data among the top five 
crypto currencies ranges from 2014 to 2021 and the data among the bottom five crypto currencies ranges from 2018 to 2021. The empirical analysis confirms 
presence of compelling evidence for intra-and-inter long run relationship between price and volume dynamics within the crypto market irrespective of whether 
it is pre-pandemic or pandemic period. More so, there is convincing evidence from the results that much of the variance among the prices and volumes of the 
top five crypto currencies is attributed to the Bitcoin price-volume dynamics.
Classification-JEL: G11, G12, G15
Keywords: Crypto currencies, Cointegration, VECM, Covid-19, resilience
Journal: International Econometric Review
Pages: 148-171
Volume: 16
Issue: 2
Year: 2024
Month: December
File-URL: https://dergipark.org.tr/en/download/article-file/3900372
File-Format: Application/pdf
Handle: RePEc:erh:journl:v:16:y:2024:i:2:p:148-171