Regional COVID-19 cases and Bitcoin volatility: Assessment through the Markov switching prism

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dc.contributor.authorPhan, Dat Minh
dc.contributor.authorHoang, Sinh Duc
dc.contributor.authorDuy Dao, Tung
dc.contributor.authorPham, Tien Phat
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2024-06-05T08:49:25Z
dc.date.available2024-06-05T08:49:25Z
dc.description.abstractThe 21st century has become the century of technology, which has spread to the currency market, presenting the international economic system with a new challenge – the challenge created by digital currency, which has determined a change in the rules of operation in the market. The main property of cryptocurrencies in general, and Bitcoin in particular, is constant volatility and mutual sensitivity to each other. This article aims to analyze the cryptocurrency market landscape from both short-term and long-term perspectives. Additionally, the article seeks to quantitatively assess the contradictions, trends, and patterns of price volatility in Bitcoin by employing the framework of Markov switching during the period spanning from 2020 to 2022. The Markov switching model was used in the study. In this study, the factors influencing volatility on different modes of the Markov switch are the COVID-19 pandemic and the Pearson correlation statistical method. The Chisquared test was estimated to identify the connection between Bitcoin volatility switching modes and the COVID-19 pandemic spread. This analysis enables international investors to diversify with maximum efficiency and returns using available hedging tools. However, several open questions remain for future research. Future studies can analyze different cryptocurrencies’ volatility. This research helps to assess the nature of the relationship of cryptocurrencies in statistics (the correlation of cryptocurrencies as of December 1, 2021, when no significant events in the financial market and political upheavals were recorded) and dynamics (the Markov switching models for the postpandemic period of 2020–2022). The article contributes to understanding the interdependence and sensitivity of different cryptocurrencies in relation to each other.en
dc.formattext
dc.identifier.doi10.15240/tul/001/2024-2-009
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/175209
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectGARCH modelen
dc.subjectChi-squared testen
dc.subjectBitcoin volatility modesen
dc.subjectPearson correlation methoden
dc.subjectstatics and dynamics analysisen
dc.subject.classificationE41
dc.subject.classificationE51
dc.subject.classificationP24
dc.titleRegional COVID-19 cases and Bitcoin volatility: Assessment through the Markov switching prismen
dc.typeArticleen
local.accessopen
local.citation.epage161
local.citation.spage142
local.facultyFaculty of Economics
local.filenameEM_2_2024_9
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue2
local.relation.volume27
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