In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a...

This research examines the behaviour of cryptocurrencies and stock markets during the COVID-19 pandemic through the wavelet coherence approach and Markov switching autoregressive model. Our results show a financial contagion in March, since both cryptocurrency and stock prices fell steeply....

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe...

In this research we show that 2021 became a year when crypto markets significantly adjusted behavioural patterns, showing an increased institutional influence. We have come to two key conclusions that might indicate significant changes in the cryptocurrency market microstructure.Firstly, in...

We evidence that cryptocurrencies possess a significantly higher probability of crash risk than equity indices, albeit such cryptocurrency market crashes are typically of shorter duration, while possessing an increased probability of acting a source of instability through which can pass through...

Applying a GARCH-S analysis to a daily dataset of eight cryptocurrencies, along with seven equity market indices for advanced countries, and seven equity market indices for emerging economies, for June 2018–June 2021, we find that cryptocurrencies have higher probability of crash risk than...

Using wavelet coherence framework on five major cryptocurrencies and three major stock market indices over the COVID-19 period from January 1st, 2020 to February 8th, 2021, our study concludes that SSEC index liquidity co-moves with liquidity of all the cryptocurrencies, while liquidities of...

The main goal of this study is to examine whether the cryptocurrency market impacts the stock market returns in the Gulf countries. Understanding this impact is quite interesting to clarify whether the cryptocurrency market and the stock market are substitutes or complements for investors. The...

This paper examines how different categories of COVID–19 news sentiment differentially impact the behavior of cryptocurrency returns. A nonlinear technique of transfer entropy is applied to investigate the relationship between the top 30 cryptocurrencies by market capitalization and COVID–19...