| Abstract [eng] |
Cryptocurrencies, and the quest to know and understand them, are a hot topic these days. The scientific and financial sectors are seeking to understand and apply this relatively new technology in greater depth. In the scientific literature, we can find a number of attempts to analyse the interdependencies between cryptocurrencies in order to find trends and leading tokens. The discovery of correlations can lead to the construction of a diversified investment portfolio that minimises financial risk. Due to the relatively young structure of the cryptocurrency market, the correlations between tokens are volatile. In order to minimise losses during crisis periods, it is necessary to analyse how these linkages change during global crises and whether we can use some of the tokens as a hedging instrument. Therefore, this work has examined the interconnections between cryptocurrencies and their dynamics during different periods, which included crises such as the COVID-19 pandemic. The issue of cryptocurrency interdependencies during crisis periods was described in the first part of the paper through a literature review. In the second part, a methodology was developed to analyse the selected data and the characteristics they exhibit, as well as how to perform correlation, impulse response, Granger causality, and volatility spillover analyses. In the third part, the results obtained were presented, which show an increased correlation between the start of the COVID-19 pandemic and the end of the data sample period. The minimum tree approach showed changing correlations and dominant tokens in different time periods, while impulse response and Granger causality analyses showed directional relationships in the pre- and post-pandemic period. The volatility propagation analysis provided an overall picture of how volatility is propagated in the cryptocurrency system and the increase in its tokens during the crisis periods of the virtual currency market and the COVID-19 pandemic. |
