Theoretical and Applied Economics
No. 2 / 2023 (635), Summer
An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19
Institute of Management Technology, Hyderabad, India
Balaga Mohana RAO
Indian Institute of Technology, Dharward, India
Anoop S KUMAR
Gulati Institute of Finance and Taxation, Thiruvananthapuram, India
Abstract. Our paper investigates the explosive nature of cryptocurrency prices in the backdrop of the COVID-19 pandemic. In this paper, we use the daily prices of six major cryptocurrencies, namely Bitcoin (BTC), Dash (DASH), Ethereum (ETH), Litecoin (LTC), Nem (NEM), and Ripple (XRP), ranging from 07.08.2015 to 16.12.2020. We employ univariate and panel GSADF recursive unit root tests for analytical purposes. Our results identify multiple periods of explosive price movements in the individual cryptocurrencies during the COVID-19 pandemic. Further, we find synchronised explosive behaviour in the prices of cryptocurrencies during the pandemic period. Our results indicate the possibility of herding in the cryptocurrency market.
Keywords: cryptocurrency; digital financial assets; COVID-19; explosive price movements.
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