Covid-19 and Cryptocurrency Markets Integration

This paper examines the impact of COVID-19 on the integration and dynamic linkages of the cryptocurrencies (Bitcoin, Ethereum, Litecoin, XRP and Stellar). ARDL bound test approach and Granger causality tests are used in this study for the period from 17 April 2019 to 15 September 2020. We found evidence of no cointegration among the cryptocurrencies in both pre- and during COVID-19. Thus, the cryptocurrencies market offers an ample opportunity for the potential benefits from portfolio diversification and hedging strategies even during the COVID-19 pandemic. In addition, Granger causality tests show that Bitcoin is the most influential cryptocurrency in the short-run. The findings of this study may have implications for crypto-investors, international investors and fund managers who want to diversify their investments in cryptocurrencies. © 2022, Institute of Technology PETRONAS Sdn Bhd.