Ben-Ahmed Kais, Theiri Saliha, Kasraoui Naziha
Department of Finance, College of Business, University of Jeddah, Saudi Arabia.
Higher Institute of Management, ISG, University of Sousse, Tunisia.
Heliyon. 2023 Aug 5;9(8):e18847. doi: 10.1016/j.heliyon.2023.e18847. eCollection 2023 Aug.
This research examines the impact of the coronavirus index on the returns and volatility of ten major cryptocurrencies during the COVID-19 pandemic. For this purpose, we applied a multivariate volatility GARCH model with an integrated dynamic conditional correlation (DCC) approach to daily cryptocurrency values observed data during the January-December, 2020 period. Moreover, we used the Granger causality test to study return-volume correlations. The findings indicate that cryptocurrency volatility declined after the World Health Organization declared on March 11, 2020, that the coronavirus was a pandemic. Unlike most of the relevant previous studies, we found that the COVID-19 crisis did not have a long-term effect on cryptocurrency returns and volatility but only presented a short-term effect. Our results have implications for investors who need to determine an optimal portfolio for a scenario other than the base.
本研究考察了新冠病毒指数对新冠疫情期间十种主要加密货币回报与波动性的影响。为此，我们对2020年1月至12月期间观测到的加密货币每日价值数据应用了带有集成动态条件相关（DCC）方法的多元波动性GARCH模型。此外，我们使用格兰杰因果检验来研究回报与交易量的相关性。研究结果表明，在世界卫生组织于2020年3月11日宣布新冠病毒为大流行病之后，加密货币的波动性有所下降。与之前大多数相关研究不同的是，我们发现新冠疫情危机对加密货币的回报和波动性并没有长期影响，而仅呈现出短期影响。我们的研究结果对那些需要为非基准情景确定最优投资组合的投资者具有启示意义。
