Dynamic Linkages Among Cryptocurrencies: The Role of COVID-19

Abstract

This paper investigates the impact of COVID-19 on the cryptocurrency market. It empirically examines the level of volatility and the dynamic conditional correlations among cryptocurrencies pre-COVID-19 and during COVID-19. We find significant dynamic conditional correlations among cryptocurrencies and that the level of volatility is higher during COVID-19 than pre-COVID-19.