The Time-varying Impact of Covid-19 Pandemic on Bitcoin and Ethereum: Evidence from Time Series Model

Abstract

At the beginning of 2020, the panic of Covid-19 had an excessive impact on global economics and the financial market. Based on the unit root test, this paper exposes the newly global Covid-19 confirmed cases and the rate of return of Ethereum and Bitcoin are stationary time series. This paper further completes the VAR model and ARMA-GARCH model. The VAR model examines the effect of newly confirmed cases on to rate of return of Bitcoin and Ethereum, and the ARMA-GARCH model scrutinizes the newly confirmed cases to the fluctuation of Bitcoin and Ethereum. This study found that the impact of the COVID-19 on cryptocurrency earnings was short-term, and did not improve the market volatility.