Are the crypto markets shock resilient to COVID-19? A comparative investigation of trading prices and volumes

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dc.authorid0000-0002-5131-577X
dc.authorid0000-0003-4795-4533
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorBwando, William
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2025-03-28T12:53:20Z
dc.date.available2025-03-28T12:53:20Z
dc.date.issued2025
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.description.abstractThe emergence of crypto currency as an alternative source of currency has been dubbed as one of the greatest phenomenon of the 21st century. Over the years, crypto currencies have grossly interrupted the traditional financial system and they continue to act as a catalyst for its revolution. However, cryptocurrencies have not been free from misery and controversies. 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 Cryptocurrencies in terms of market capitalization (Bitcoin, Ethereum, XRP, Binance coin and Litecoin) as at 7 November 2020. The second one is made up of the Bottom Five Cryptocurrencies among the top 40 cryptocurrencies (FTX Token, Huobi Token, Filecoin, Dash and Decreed) as at 7 November 2020 again. The data among the Top Five Cryptocurrencies ranges from 2014 to 2021 and the data among the Bottom Five Cryptocurrencies ranges from 2018 to 2021.. The empirical results reveal that all crypto-currencies are integrated at order 1 i.e. I (1). The empirical analysis confirms presence of strong 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 cryptocurrencies is attributed to the Bitcoin price-volume dynamics. This implies that it is critical for crypto market traders, investors and portfolio managers, before making any investment decision must consider the dynamics of price and trading volumes of BITCOIN as they hugely impact the prices and volumes of other altcoins.
dc.identifier.citationKhan, A. I. & Bwando, W. (2025). Are the crypto markets shock resilient to COVID-19? A comparative investigation of trading prices and volumes. International Econometric Review, 16(2), 148-171. https://www.doi.org/10.33818/ier.1477175
dc.identifier.doi10.33818/ier.1477175
dc.identifier.endpage171
dc.identifier.issn1308-8793
dc.identifier.issn1308-8815
dc.identifier.issue2
dc.identifier.startpage148
dc.identifier.urihttps://www.doi.org/10.33818/ier.1477175
dc.identifier.urihttps://hdl.handle.net/20.500.12154/3294
dc.identifier.volume16
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorBwando, William
dc.institutionauthorid0000-0002-5131-577X
dc.institutionauthorid0000-0003-4795-4533
dc.language.isoen
dc.publisherEconometric Research Association
dc.relation.ispartofInternational Econometric Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Öğrenci
dc.relation.publicationcategoryÖğrenci
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCryptocurrencies
dc.subjectCointergration
dc.subjectVECM
dc.subjectCOVID-19
dc.subjectResillience
dc.titleAre the crypto markets shock resilient to COVID-19? A comparative investigation of trading prices and volumes
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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