<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization in the cryptocurrency market. Wavelet coherence analysis was also used to detect the co-movements between BTC and ETH. As a result of the study, several similar breaks were seen in each BTC and ETH series. Only one break could be directly associated with the pandemic process. This means that the pandemic is internalized and normalized in the process. The wavelet coherence results indicate a strong positive dependency (dark warm colours) between BTC and ETH and in phase (in the same direction) in the short and long bandgaps.</p>
</abstract>

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization in the cryptocurrency market. Wavelet coherence analysis was also used to detect the co-movements between BTC and ETH. As a result of the study, several similar breaks were seen in each BTC and ETH series. Only one break could be directly associated with the pandemic process. This means that the pandemic is internalized and normalized in the process. The wavelet coherence results indicate a strong positive dependency (dark warm colours) between BTC and ETH and in phase (in the same direction) in the short and long bandgaps.

Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic....

Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period

Publicado en línea: 07 jun 2024

Páginas: 41 - 70

Recibido: 28 feb 2023

Aceptado: 15 jun 2023

DOI: https://doi.org/10.2478/jcbtp-2024-0012

Palabras clave
Structural Break, Co-Movement, Cryptocurrency

© 2024 Bilgehan Tekin, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period

Publicado en línea: 07 jun 2024

Páginas: 41 - 70

Recibido: 28 feb 2023

Aceptado: 15 jun 2023

DOI: https://doi.org/10.2478/jcbtp-2024-0012

Palabras claveStructural Break, Co-Movement, Cryptocurrency

© 2024 Bilgehan Tekin, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Palabras clave
Structural Break, Co-Movement, Cryptocurrency