The Time-varying Impact of Covid-19 Pandemic on Niche Cryptocurrency Returns and Volatility

Guoxuan Wang

doi:10.54691/bcpbm.v27i.1968

Authors

Guoxuan Wang

DOI:

https://doi.org/10.54691/bcpbm.v27i.1968

Keywords:

Niche Cryptocurrency; COVID-19; VAR; ARMA-GARCH.

Abstract

Since the outbreak of COVID-19 in 2020, all industries have been hit to a greater or lesser extent, and the financial sector is no exception. And in previous studies of mainstream cryptocurrencies, cryptocurrencies appear to have been relatively unaffected by the epidemic. This paper, however, explores the impact of the epidemic on niche cryptocurrencies such as BNB, ADA, and dogecoin based on VAR and ARMA-GARCH models. The results show that the impact on returns is relatively small, while the impact on volatility is almost non-existent. These results may provide references for government departments and individual investors to avoid the systemic risk caused by the epidemic.

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