Spill-Over Effects of Cryptocurrencies Price Volatilities in Financial Markets: An Empirical Estimation during Global Health Crises

Abstract

This study is conducted to investigate the potential volatilities and interdependencies among cryptocurrencies during global health crises, i.e., during COVID-19. The top five cryptocurrencies have been selected to assess their interdependencies. These currencies have been ranked as the top five due to their highest market capitalization. These top five currencies are Bitcoin, Ethereum, Tether, USD coin, and BNB. Monthly data for these currencies from the first month of 2019 to eighth month of 2022 is taken from online sources by investing.com. Squared deviations from mean values have been taken as measures of volatilities. These measures are simple but more precise to capture the possibility of potential interrelations in the volatilities of cryptocurrencies through regression analysis. The results of this study showed that the volatility of each cryptocurrencies involved is interlinked with the volatility of at least one other cryptocurrencies.