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Journal: International Journal of Management (IJM) (Vol.12, No. 3)

Publication Date:

Authors : ;

Page : 193-205

Keywords : COVID-19; crypto currency; leverage effect; Asymmetric volatility; EGARCH model;

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In this research the association between COVID-19 and the price volatility of cryptocurrency has been studied. The talk about COVID-19 has been there since almost the start of 2020 after badly affecting the health of the people of Wuhan, China and then spreading around the world causing the countries around the World to enforce a lockdown. Due to this, many economies got affected leading to destruction and downward movement in majority of the industries. In this study, an attempt has been made to check if COVID-19 has had an influence on the price volatility of cryptocurrencies focusing on four of them which include, BITCOIN, LITECOIN, XRP(RIPPLE) and ETHEREUM by using the prices of all four from 10th August 2016 to 10th August 2020. In order to check if the leverage effect is present or not, EGARCH model is used. The findings of the study show that leverage effect on the price volatility is present for LITECOIN, XRP(RIPPLE) and ETHEREUM but not for BITCOIN.

Last modified: 2021-04-05 21:11:43