Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach

In this paper, we attempt to understand and identify the cyclical fluctuations in cryptocurrency markets. To end, apply Markov-Switching approach on daily prices of 17 selected digital currencies. This model allows us capture nonlinear structure cryptocurrencies’ prices. The empirical results clearly show potential difference(s) among currencies when they react varying levels pandemic's severity. existence two distinguishable states each state seems be characterized by different features market cycle’s phase for cryptocurrency. So, Covid19 pandemic affects asymmetrically phases Such findings can have insightful portfolios implications.