Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic

Shaen Corbet, Yang (Greg) Hou, Yang Hu, Charles Larkin, Brian Lucey, Les Oxley

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.

Original languageEnglish
Article number102137
JournalFinance Research Letters
Early online date16 May 2021
DOIs
Publication statusE-pub ahead of print - 16 May 2021

Keywords

  • Coronavirus
  • COVID-19
  • Cryptocurrency
  • Liquidity
  • Price volatility

ASJC Scopus subject areas

  • Finance

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