The connectedness between three traditional assets and cryptocurrency during the COVID-19 pandemic and Russia–Ukraine conflicts

Abstract

This paper analyses the connectedness between three traditional financial assets and cryptocurrencies from June 2019 to December 2022. We find that cryptocurrencies have the highest within-market connectedness, suggesting they are less influenced by other asset categories. The dynamic overall market connectedness undergoes four structural changes during the sample period, with two significant increases aligning with the early stages of the COVID-19 pandemic and the Russia–Ukraine conflict. When comparing the two stages before and after these increases, we observed an increase in spillover effects from cryptocurrencies to the other three asset categories.