Dynamic Connectedness Between Cryptocurrencies, Gold, U.S. Dollar Index, and Oil During COVID-19

DOI

10.2991/aebmr.k.220307.124How to use a DOI?

Keywords

TVP-VAR; Gold; U.S. dollar index; Oil; COVID-19; Connectedness

Abstract

This paper aims to find the connectedness between cryptocurrencies and traditional assets. Using daily data of three representative cryptocurrencies and three traditional assets over the period August 2015 to July 2021, this study explores the cross-sector connectedness between the cryptocurrencies market and the traditional assets market. The result shows that connectedness varies over time and External events (COVID-19, oil crisis) have a significant impact on connectedness. Furthermore, traditional assets are relatively independent of each other. Cryptocurrencies, as the main transmitter, can affect each other. During some COVID-19 pandemic, cryptocurrencies can give great shocks to the traditional assets market. The result sparks some new insights for investors and policymakers.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Zhe Zhou
PY  - 2022
DA  - 2022/03/26
TI  - Dynamic Connectedness Between Cryptocurrencies, Gold, U.S. Dollar Index, and Oil During COVID-19
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 769
EP  - 778
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.124
DO  - 10.2991/aebmr.k.220307.124
ID  - Zhou2022
ER  -