Theoretical and Applied Economics (Jun 2023)

An enquiry into extreme price movements of the cryptocurrencies in the backdrop of COVID-19

  • Suvvari ANANDARAO,
  • Balaga Mohana RAO,
  • Anoop S KUMAR

Journal volume & issue
Vol. XXX, no. 2
pp. 231 – 238

Abstract

Read online

Our paper investigates the explosive nature of cryptocurrency prices in the backdrop of the COVID-19 pandemic. In this paper, we use the daily prices of six major cryptocurrencies, namely Bitcoin (BTC), Dash (DASH), Ethereum (ETH), Litecoin (LTC), Nem (NEM), and Ripple (XRP), ranging from 07.08.2015 to 16.12.2020. We employ univariate and panel GSADF recursive unit root tests for analytical purposes. Our results identify multiple periods of explosive price movements in the individual cryptocurrencies during the COVID-19 pandemic. Further, we find synchronised explosive behaviour in the prices of cryptocurrencies during the pandemic period. Our results indicate the possibility of herding in the cryptocurrency market.

Keywords