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Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak
Version 1
: Received: 15 March 2021 / Approved: 17 March 2021 / Online: 17 March 2021 (13:17:38 CET)
A peer-reviewed article of this Preprint also exists.
Aysan, A.F.; Khan, A.U.I.; Topuz, H. Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. Risks 2021, 9, 74. Aysan, A.F.; Khan, A.U.I.; Topuz, H. Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. Risks 2021, 9, 74.
Abstract
The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoin, Eos, BitcoinCash, Binance, Stellar, and Tron and their daily closing price data are captured from coinmarketcap over the period from 9/13/2017 to 9/21/2020. To determine the order of integration, the Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) unit root tests were carried out, and all of the cryptocurrencies were found to be integrated of order 1 i.e. I(1). It has been found that there is strong evidence of a long-run relationship between Bitcoin and altcoins irrespective of whether it is pre-pandemic or pandemic period. Hence these cryptocurrencies' prices and their inter-relationship are resilient to the pandemic.
Keywords
bitcoin; altcoins; cointegration; price dependency; COVID-19
Subject
Business, Economics and Management, Accounting and Taxation
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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