Dynamic Connectedness Between Cryptocurrencies, Gold, U.S. Dollar Index, and Oil During COVID-19

Abstract

This paper aims to find the connectedness between cryptocurrencies and traditional assets. Using daily data of three representative cryptocurrencies and three traditional assets over the period August 2015 to July 2021, this study explores the cross-sector connectedness between the cryptocurrencies market and the traditional assets market. The result shows that connectedness varies over time and External events (COVID-19, oil crisis) have a significant impact on connectedness. Furthermore, traditional assets are relatively independent of each other. Cryptocurrencies, as the main transmitter, can affect each other. During some COVID-19 pandemic, cryptocurrencies can give great shocks to the traditional assets market. The result sparks some new insights for investors and policymakers.