On the dynamic equicorrelations in cryptocurrency market

This paper investigates the time-varying co-movements in cryptocurrency market, employing a Dynamic Equicorrelation GARCH (DECO-GARCH) model, before and during COVID-19 pandemic. Our results suggest that equicorrelations are highly responsive to major events, such as hacker attacks government bans. The lend support recent claim interlinkages among cryptocurrencies have become stronger, particularly after mid-2017, with substantially increased trading activity market. reach their peak March 2020, official declaration of World Health Organization (WHO) novel coronavirus outbreak becomes global pandemic, indicating potential contagion effects. We also examine determinants market linkages find Bitcoin volume, attention-driven demand for risk aversion significantly increase bear provide implications investors, traders policy makers help improve understanding market’s behavior times extreme stress.