Purpose

The purpose of this study is to investigate volatility connectedness between major cryptocurrencies by the virtue of market capitalization. In this context, this paper implements the frequency connectedness approach of Barunik and Krehlik (2018) and to measure short-, medium- and long-term connectedness between realized volatilities of cryptocurrencies. Additionally, this paper analyzes network graphs of directional TO/FROM spillovers before and after the announcement of the COVID-19 pandemic by the World Health Organization.

Design/methodology/approach

In this study, we examine the volatility connectedness among eight major cryptocurrencies by the virtue of market capitalization by using the frequency connectedness approach over the period July 26, 2017 and October 28, 2020. To this end, this paper computes short-, medium- and long-cycle overall spillover indexes on different frequency bands. All indexes properly capture well-known events such as the 2018 cryptocurrency market crash and COVID-19 pandemic and markedly surge around these incidents. Furthermore, owing to notably increased volatilities after the official announcement of the COVID-19 pandemic, this paper concentrates on network connectedness of volatility spillovers for two distinct periods, July 26, 2017–March 10, 2020 and March 11, 2020–October 28, 2020, respectively. In line with the related studies, major cryptocurrencies stand at the epicenter of the connectedness network and directional volatility spillovers dramatically intensify based on the network analysis.

Findings

Overall spillover indexes have fluctuated between 54% and 92% in May 2018 and April 2020. The indexes gradually escalated till November 9, 2018 and surpassed their average values (71.92%, 73.66% and 74.23%, respectively). Overall spillover indexes dramatically plummeted till January 2019 and reached their troughs (54.04%, 57.81% and 57.81%, respectively). Etherium catalyst the highest sum of volatility spillovers to other cryptocurrencies (94.2%) and is followed by Litecoin (79.8%) and Bitcoin (76.4%) before the COVID-19 announcement, whereas Litecoin becomes the largest transmitter of total volatility (89.5%) and followed by Bitcoin (89.3%) and Etherium (88.9%). Except for Etherium, the magnitudes of total volatility spillovers from each cryptocurrency notably increase after – COVID-19 announcement period. The medium-cycle network topology of pairwise spillovers indicates that the largest transmitter of total volatility spillover is Litecoin (89.5%) and followed by Bitcoin (89.3%) and Etherium (88.9%) before the COVID-19 announcement. Etherium keeps its leading role of transmitting the highest sum of volatility spillovers (89.4%), followed by Bitcoin (88.9%) and Litecoin (88.2%) after the COVID-19 announcement. The largest transmitter of total volatility spillovers is Etherium (95.7%), followed by Litecoin (81.2%) and Binance Coin (75.5%) for the long-cycle connectedness network in the before-COVID-19 announcement period. These nodes keep their leading roles in propagating volatility spillover in the latter period with the following sum of spillovers (Etherium-89.5%, Bitcoin-88.9% and Litecoin-88.1%, respectively).

Research limitations/implications

The study can be extended by including more cryptocurrencies and high-frequency data.

Originality/value

The study is original and contributes to the extant literature threefold. First, this paper identifies connectedness between major cryptocurrencies on different frequency bands by using a novel methodology. Second, this paper estimates volatility connectedness between major cryptocurrencies before and after the announcement of the COVID-19 pandemic and thereby to concentrate on its impact on the cryptocurrency market. Third, this paper plots network graphs of volatility connectedness and herewith picture the intensification of cryptocurrencies due to a major financial distress event.

中文翻译：

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加密货币连通性与 COVID-19 大流行的关系：来自时频域的证据

目的

本研究的目的是通过市值研究主要加密货币之间的波动性关联性。在此背景下，本文实施了 Barunik 和 Krehlik (2018) 的频率连通性方法，并测量加密货币已实现波动率之间的短期、中期和长期连通性。此外，本文分析了世界卫生组织宣布 COVID-19 大流行前后定向 TO/FROM 溢出的网络图。

设计/方法/方法

在本研究中，我们通过使用频率连通性方法在 2017 年 7 月 26 日和 2020 年 10 月 28 日期间利用市值检验了八种主要加密货币之间的波动连通性。为此，本文计算了短期、中期和以及不同频段上的长周期整体溢出指数。所有指数都正确地捕捉了众所周知的事件，例如 2018 年加密货币市场崩盘和 COVID-19 大流行，并在这些事件周围显着激增。此外，由于在正式宣布 COVID-19 大流行后波动性显着增加，本文重点研究了两个不同时期（2017 年 7 月 26 日至 2020 年 3 月 10 日和 2020 年 3 月 11 日至 10 月 28 日）波动溢出的网络连通性， 2020 年，分别。根据相关研究，

发现

2018 年 5 月和 2020 年 4 月，整体溢出指数在 54% 和 92% 之间波动。这些指数逐渐攀升至 2018 年 11 月 9 日，并超过了它们的平均值（分别为 71.92%、73.66% 和 74.23%）。整体溢出指数在 2019 年 1 月之前急剧下跌并达到谷底（分别为 54.04%、57.81% 和 57.81%）。在 COVID-19 宣布之前，以太币催化剂是对其他加密货币波动溢出的最高总和 (94.2%)，其次是莱特币 (79.8%) 和比特币 (76.4%)，而莱特币成为总波动率的最大传递者 (89.5%)其次是比特币（89.3%）和以太币（88.9%）。除 Etherium 外，在 COVID-19 公告期之后，每种加密货币的总波动溢出幅度显着增加。成对溢出的中周期网络拓扑结构表明，在 COVID-19 宣布之前，总波动率溢出的最大传递者是莱特币 (89.5%)，其次是比特币 (89.3%) 和以太币 (88.9%)。在 COVID-19 宣布之后，以太币继续保持其传输波动溢出的最高总和 (89.4%) 的领先地位，其次是比特币 (88.9%) 和莱特币 (88.2%)。在 COVID-19 公布之前的长周期连通性网络中，总波动性溢出的最大传递者是以太币 (95.7%)，其次是莱特币 (81.2%) 和币安币 (75.5%)。这些节点在传播后期波动性溢出方面保持主导作用，溢出总和如下（分别为 Etherium-89.5%、Bitcoin-88.9% 和 Litecoin-88.1%）。

研究限制/影响

该研究可以通过包括更多的加密货币和高频数据来扩展。

原创性/价值

这项研究是原创的，对现存文献有三方面的贡献。首先，本文通过使用一种新颖的方法来确定不同频段上主要加密货币之间的连通性。其次，本文估计了 COVID-19 大流行宣布前后主要加密货币之间的波动性联系，从而专注于其对加密货币市场的影响。第三，本文绘制了波动性连通性的网络图，并在此描绘了由于重大金融危机事件导致的加密货币加剧。