The Time-varying Impact of Covid-19 Pandemic on Cryptocurrency: Evidence from VAR and AEMA-GARCH models

Ruihan Duan

doi:10.54691/bcpbm.v27i.1966

Authors

Ruihan Duan

DOI:

https://doi.org/10.54691/bcpbm.v27i.1966

Keywords:

Bitcoin; Ethereum; Cryptocurrency; Covid-19.

Abstract

To represent the relationship between cryptocurrency market and the Covid-19 pandemic, this paper chose the closing price of BTC and ETH and daily new confirmed cases in China, America, and the global to build VAR and ARMA-GARCH models. After missing data dropped, this paper collected data from Jan 24th, 2021 to Feb 24th, 2022, and there are totally 757 samples in these 2 models. ADF test was used to test the time-series variables’ stability. This paper used HQIC, PACF and ACF to identify VAR, AR and MA order, respectively. Empirical results found that the pandemic had a negative effect on the yield of BTC and ETH. This paper found that the effect of the pandemic in China and America was similar but different from that of global in the long term.

Downloads

Download data is not yet available.

References

Salvatore D. Growth and trade in the United States and the world economy: Overview [J]. Journal of Policy Modeling, 2020, 42 (4): 750 - 759.

Salvatore D. The US and the world economy after Covid-19 [J]. Journal of Policy Modeling, 2021, 43 (4): 728 - 738.

Productivity and the Pandemic: Challenges and Insights from Covid-19 [M]. Edward Elgar Publishing, 2021.

Impact of COVID-19 on Asian Economies and Policy Responses [M]. World Scientific, 2020.

French J J. # Bitcoin, # COVID-19: Twitter-Based Uncertainty and Bitcoin Before and during the Pandemic[J]. International Journal of Financial Studies, 2021, 9 (2): 28.

Shehzad K, Bilgili F, Zaman U, et al. Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach [J]. Resources Policy, 2021, 73: 102163.

Dynamic table of the new crown pneumonia epidemic in China [DB/OL]. (2020-1-10) [2022-5-29]. https://cn.gtadata.com/.

Global statistics of confirmed cases and deaths of new coronavirus pneumonia [DB/OL]. (2020-1-04) [2022-5-29]. https://cn.gtadata.com/.

Aysan A F, Khan A U I, Topuz H. Bitcoin and altcoins price dependency: Resilience and portfolio allocation in COVID-19 outbreak [J]. Risks, 2021, 9 (4): 74.

Deardorff A V, Kim S, Chung C. The Global Economy after Covid-19: Challenges and Policy Resolutions [J]. East Asian Economic Review, 2020, 24 (4): 305 - 312.