Using an asymmetric breakpoint approach, the study finds that the COVID-19 pandemic significantly increased risk spillover among cryptocurrencies, amplified by confirmed cases and crude oil market resonance, with other financial markets remaining independent.
Spillovers between bitcoin and other assets during bear and bull markets
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A Dynamic Spillover Effect Investigation on Cryptocurrency Market Before and After Pandemic
Using an asymmetric breakpoint approach, the study finds that the COVID-19 pandemic significantly increased risk spillover among cryptocurrencies, amplified by confirmed cases and crude oil market resonance, with other financial markets remaining independent.