CRISIS AND CONTAGION INCRYPTOCURRENCY MARKET

Authors

Bhavesh Garg, Indian Institute of Technology Ropar, Punjab, India.Follow
Karan Rai, Indian Institute of Technology Ropar, Punjab, India.Follow
Rishabh Pachoriya, Indian Institute of Technology Ropar, Punjab, India.Follow
Manik Thappa, Indian Institute of Technology Ropar, Punjab, India.Follow

Document Type

Article

Abstract

The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.

Recommended Citation

Garg, Bhavesh; Rai, Karan; Pachoriya, Rishabh; and Thappa, Manik (2023) "CRISIS AND CONTAGION INCRYPTOCURRENCY MARKET," Bulletin of Monetary Economics and Banking: Vol. 26: No. 0, Article 2.
DOI: https://doi.org/10.59091/1410-8046.2054
Available at: https://bulletin.bmeb-bi.org/bmeb/vol26/iss0/2

First Page

9

Last Page

32

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

India

Affiliation

Indian Institute of Technology Ropar