We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.
Description
Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic - ScienceDirect
%0 Journal Article
%1 CORBET2021102137
%A Corbet, Shaen
%A Hou, Yang (Greg)
%A Hu, Yang
%A Larkin, Charles
%A Lucey, Brian
%A Oxley, Les
%D 2021
%J Finance Research Letters
%K ba covid-19 crypto_curr volatility
%P 102137
%R https://doi.org/10.1016/j.frl.2021.102137
%T Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic
%U https://www.sciencedirect.com/science/article/pii/S154461232100218X
%X We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.
@article{CORBET2021102137,
abstract = {We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.},
added-at = {2021-12-20T15:30:21.000+0100},
author = {Corbet, Shaen and Hou, Yang (Greg) and Hu, Yang and Larkin, Charles and Lucey, Brian and Oxley, Les},
biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2e7534888bacd2d54b2cf51987022012f/georglender},
description = {Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic - ScienceDirect},
doi = {https://doi.org/10.1016/j.frl.2021.102137},
interhash = {5abc3b30c68b9c4d6af93b2f50adfc39},
intrahash = {e7534888bacd2d54b2cf51987022012f},
issn = {1544-6123},
journal = {Finance Research Letters},
keywords = {ba covid-19 crypto_curr volatility},
pages = 102137,
timestamp = {2021-12-20T14:30:21.000+0100},
title = {Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic},
url = {https://www.sciencedirect.com/science/article/pii/S154461232100218X},
year = 2021
}
