Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both sample periods. We find that the return spillovers vary across the two periods for the Bitcoin–Ethereum, Bitcoin–Litecoin, and Ethereum–Litecoin pairs. However, the volatility transmissions are found to be different during the two sample periods for the Bitcoin–Ethereum and Bitcoin–Litecoin pairs. The constant conditional correlations between all pairs of cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period. Based on optimal weights, investors are advised to decrease their investments (a) in Bitcoin for the portfolios of Bitcoin/Ethereum and Bitcoin/Litecoin and (b) in Ethereum for the portfolios of Ethereum/Litecoin during the COVID-19 period. All hedge ratios are found to be higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging effectiveness is higher during the COVID-19 period compared to the pre-COVID-19 period. Overall, these findings provide useful information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management.

中文翻译：

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使用高频数据发现主要加密货币之间的相互联系：来自 COVID-19 大流行的新证据

通过将 VAR-AGARCH 模型应用于三种加密货币（比特币、以太坊和莱特币）的日内数据，本研究检验了这些加密货币在 COVID-19 之前的时期与 COVID-19 之间的回报和波动溢出时期。我们还估计了两个样本期间的最佳权重、套期保值比率和套期保值有效性。我们发现，比特币-以太坊、比特币-莱特币和以太坊-莱特币对的回报溢出效应在两个时期有所不同。然而，在比特币-以太坊和比特币-莱特币对的两个样本期间，波动率传输被发现是不同的。与 COVID-19 之前的时期相比，在 COVID-19 时期观察到所有加密货币对之间的恒定条件相关性更高。基于最优权重，建议投资者在 COVID-19 期间减少对 (a) 比特币 / 以太坊和比特币 / 莱特币投资组合的比特币投资，以及 (b) 以太坊 / 以太坊 / 莱特币投资组合的投资。在 COVID-19 期间，所有对冲比率均较高，这意味着与 COVID-19 之前的时期相比，对冲成本更高。最后，与 COVID-19 之前的时期相比，COVID-19 时期的对冲有效性更高。总体而言，这些发现为投资组合经理和政策制定者提供了有关投资组合多样化、对冲、预测和风险管理的有用信息。在 COVID-19 期间，所有对冲比率均较高，这意味着与 COVID-19 之前的时期相比，对冲成本更高。最后，与 COVID-19 之前的时期相比，COVID-19 时期的对冲有效性更高。总体而言，这些发现为投资组合经理和政策制定者提供了有关投资组合多样化、对冲、预测和风险管理的有用信息。在 COVID-19 期间，所有对冲比率均较高，这意味着与 COVID-19 之前的时期相比，对冲成本更高。最后，与 COVID-19 之前的时期相比，COVID-19 时期的对冲有效性更高。总体而言，这些发现为投资组合经理和政策制定者提供了有关投资组合多样化、对冲、预测和风险管理的有用信息。