We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271-296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin...

This research investigates the appropriateness of the linear specification of the market model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. Two extensions are offered to compare the performance of the linear specification of the market...

Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the...

The notion that investors shift to gold during economic market crises remains unverifed for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19. Through the...

COVID-19 has signifcantly infuenced global fnancial markets, including Bitcoin. Recent studies have focused on investigating the frst wave of the COVID-19 outbreak and accounting for market changes, which were mostly due to the pandemic. This research not only analyzes the contagion efects of...

This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to...

In this study, we analyze the stock market reaction to 35 events associated with 32 publicly traded companies from six countries that have announced cryptocurrency acquisitions, selling, or acceptance as a means of payment. Our analysis focuses on tra‑ ditional frms whose core business is...

This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp,...

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading...