Please use this identifier to cite or link to this item: http://dspace.iitrpr.ac.in:8080/xmlui/handle/123456789/4755
Title: CRISIS AND CONTAGION IN CRYPTOCURRENCY MARKET
Authors: Garg, B.
Rai, K.
Pachoriya, R.
Thappa, M.
Keywords: Contagion
COVID-19
Cryptocurrency
Wavelet
Issue Date: 23-Oct-2024
Abstract: The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.
URI: http://dspace.iitrpr.ac.in:8080/xmlui/handle/123456789/4755
Appears in Collections:Year-2023

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