Abstract:

We explore the potential dependence between extreme return and volumes among different cryptocurrencies, using several different statistical models. Extreme return-volume dependence in Bitcoin, Ethereum, Ripple and Litecoin has been examined by copula methodology. We use EGARCH model for return series and GARCH model for volume series. For Bitcoin, by including the Covid-19 crisis, we have found that high volumes are not significantly dependent with high returns. Further, it has been found that (ETH, RIPPLE and LTC) may attract pessimistic investors due to insignificance of right tail dependence. For, Ethereum we have found evidence of low trading during the Covid-19 crisis due to significance of lower tail dependence coefficients. For, Litecoin extremely low volumes are more likely to coexist with extremely low and high returns before Covid-19 crisis. For, Bitcoin when include period of Covid-19 crisis, we found that trading increases for lower return which support the heterogenous investors with short sale constraint Keyword: Human Capital Index, Education, Health, Productivity of the future generation.

Keywords:

Cryptocurrencies, EGARCH-Copula, returns-volumes, upper tail dependence, negative returns.

How to Cite:

Muhammad Naeem, Mani Joseph and Ji Hao. Is Cryptocurrencies Extreme Returns-volumes Relationship Affected by COVID-19?. [ref]: vol.21.2023. available at: https://refpress.org/ref-vol21-a293/