Cryptocurrencies Responses to the Covid-19 Waves
Cryptocurrencies Responses to the Covid-19 Waves

Summary/Abstract: We investigate in this paper the evolution of the dynamic relationship between Covid-19 cases and cryptocurrency markets. Furthermore, we examine their sensitivity to the second wave period. Using a DCC-Egarch model, our findings show different sensitivities between cryptocurrency markets to the Covid-19 pandemic. Besides, we emphasize that the sensitivity of transaction volume in the cryptocurrency markets to the number of Covid-19 cases is negatively and significantly affected by the second wave of the pandemic. Then, we underline that the hedging power of cryptocurrencies on the Covid-19 framework is dubious except for Bitcoin.

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