Regime specific spillover across cryptocurrencies and the role of COVID‑19  

作　　者：Syed Jawad Hussain Shahzad Elie Bouri Sang Hoon Kang Tareq Saeed 

机构地区：[1]Montpellier Business School,Montpellier,France [2]South Ural State University,Chelyabinsk,Russian Federation [3]Adnan Kassar School of Business,Lebanese American University,Beirut,Lebanon [4]Department of Business Administration,Pusan National University,Busan,South Korea [5]Nonlinear Analysis and Applied Mathematics(NAAM)‑Research Group,Department of Mathematics,Faculty of Science,King Abdulaziz University,Jeddah,Saudi Arabia

出　　处：《Financial Innovation》2021年第1期91-114,共24页金融创新（英文）

基　　金：The fourth author acknowledges that the Deanship of Scientific Research(DSR)at King Abdulaziz University,Jeddah,Saudi Arabia funded this project,under Grant No.(FP-71-42);The third author acknowledges the support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2020S1A5B8103268).

摘　　要：The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,we apply a Markov regime-switching(MS)vector autoregressive with exogenous variables(VARX)model to a daily dataset from 25-July-2016 to 1-April-2020.The results indicate various patterns of spillover in high and low volatility regimes,especially during the COVID-19 outbreak.The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19,especially in the high volatility regime.Notably,the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak,which is consistent with the notion of contagion during stress periods.

关 键 词：REGIME-SWITCHING Volatility regimes SPILLOVERS Connectedness Cryptocurrencies COVID-19 

分 类 号：F22[经济管理—国民经济]