How Does the COVID-19 Impact the Cryptocurrency?

An empirical analysis using impulse response and ARMAX-GARCH

DOI

10.2991/aebmr.k.220405.152How to use a DOI?

Keywords

Covid-19; Cryptocurrency; Investment; Finance; Time-series analysis

Abstract

This paper aims to investigate the interaction between the Covid-19 pandemic and the prices of two representative cryptocurrencies. We analyze the conditional variance of the log rate of return for these two cryptocurrencies using the ARMAX-GARCH model and the interaction between the pandemic severity and the log rate of returns using VARbased impulse responses analysis. Our finding pointed out that the pandemic has a significant positive impact on the cryptocurrencies’ prices in the short run, making the cryptocurrency market a good investment to hedge the pandemicimplanted risks in the conventional financial market.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Junbo Huang
PY  - 2022
DA  - 2022/04/29
TI  - How Does the COVID-19 Impact the Cryptocurrency?
BT  - Proceedings of the 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022)
PB  - Atlantis Press
SP  - 900
EP  - 908
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220405.152
DO  - 10.2991/aebmr.k.220405.152
ID  - Huang2022
ER  -