Abstract
The study aims to evaluate the equicorrelation between five major cryptocurrency markets including Bitcoin, Ethereum, EOS, Ripple, and Bitcoin Cash, during the COVID-19 and Russia-Ukraine crises, and to assess the risk spillovers through time. By doing so, we employ the multivariable DECO-GARCH model and the spillover index. The results show that there exists a positive equicorrelation between the crypto markets, which co-varies over time but changes markedly during the COVID-19 period and Russia-Ukraine conflict. Moreover, the total connectedness reached 58.1%, proving that these markets are significantly connected. Specifically, Bitcoin is the largest price transmitter to other markets, whereas Ethereum, Bitcoin Cash, EOS, and Ripple are receivers, with EOS being the largest recipient. More importantly, the total connectedness index changed dramatically during the COVID-19 outbreak and the Russia-Ukraine conflict, which means that there is a two-way spillover and volatility among cryptocurrency markets especially during the last two periods of crisis.. These findings would have significant implications for investors, and traders to have a more holistic view of the benefits from portfolio diversification.
Keywords: DECO-GARCH, Spillover Index, cryptocurrencies.
JEL classifications: C01, G15, G11.
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Ban biên tập Tạp chí Kinh tế & Quản trị Kinh doanh
Phòng 514, Nhà điều hành, trường Đại học Kinh tế & Quản trị Kinh doanh
Địa chỉ: Phường Tân Thịnh, thành phố Thái Nguyên
Email: tapchikt-qtkd@tueba.edu.vn; Điện thoại: 0208.3903373
