High-Frequency Connectedness between Bitcoin and Other Top-Traded Crypto Assets during the COVID-19 Crisis

نویسندگان

چکیده

In this paper, we analyse co-movements and correlations between Bitcoin thirty-one of the most-tradable crypto assets using high-frequency data for period from January 2019 to December 2020. We apply Diagonal-BEKK model pre-COVID COVID-19 periods, identify significant changes in patterns during pandemic period. also employ Minimum Spanning Tree (MST) Planar Maximally Filtered Graph (PMFG) methods study asset network structure after outbreak. While influential role digital ecosystem has been confirmed, our novel findings reveal that due recent developments blockchain ecosystem, can be categorised as dApps Protocols have become more attractive investors than pure cryptocurrencies, with exhibiting highest average degree all sample

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ژورنال

عنوان ژورنال: Social Science Research Network

سال: 2021

ISSN: ['1556-5068']

DOI: https://doi.org/10.2139/ssrn.3871405