• Bhavesh Garg Indian Institute of Technology Ropar
  • Karan Rai Indian Institute of Technology Ropar
  • Rishabh Pachoriya Indian Institute of Technology Ropar
  • Manik Thappa Indian Institute of Technology Ropar
Keywords: COVID-19, Cryptocurrency, Wavelet, Contagion


The paper examines whether an unanticipated event like the COVID-19 crisis has strengthened the contagion in the cryptocurrency market utilizing samples of data representing the pre-crisis and post-crisis periods. Employing the wavelet coherence and DCC-GARCH(1,1) models, we identify that the cryptocurrency market started integrating from 2018 as volatility within the market reduced. Our main finding is that the cryptocurrency market is highly interconnected and that the contagion strengthened during the crisis period. We draw appropriate policy implications from these findings.


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How to Cite
Garg, B., Rai, K., Pachoriya, R., & Thappa, M. (2023). CRISIS AND CONTAGION IN CRYPTOCURRENCY MARKET. Buletin Ekonomi Moneter Dan Perbankan, 26, 9-32.