# Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis

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## Abstract

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## 1. Introduction

## 2. Brief Literature Review

## 3. Data and Methods

## 4. Results and Discussion

#### 4.1. Descriptive Statistics

^{®}(64-bit) software, from StataCorp LLC, Lakeway Drive, College Station, TA, USA). The test’s ${H}_{0}$ was rejected in all cases, thus suggesting that the examined series of returns are all stationary (results not shown, but available upon request).

#### 4.2. ∆ρDCCA Analysis

## 5. Conclusions

## Author Contributions

## Funding

## Institutional Review Board Statement

## Informed Consent Statement

## Data Availability Statement

## Conflicts of Interest

## References

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**Figure 1.**$\u2206\rho \mathrm{D}\mathrm{C}\mathrm{C}\mathrm{A}$ for each cryptocurrency in the title of each graph with the remaining cryptocurrency markets as a function of n (days). Note: UL and LL are the upper and lower critical values, respectively, and are used to assess the statistical significance of $\u2206\rho \mathrm{D}\mathrm{C}\mathrm{C}\mathrm{A}(n$). If the estimated values are outside/inside both critical values, the variation in correlation is statistically significant/not significant, respectively. A statistically significant and positive variation in correlation may be interpreted as evidence of contagion and of increased market integration.

Cryptocurrency | Start Date | Market Capitalization (USD) | |||
---|---|---|---|---|---|

1 | Bitcoin | BTC | 29 April 2013 | 162,684,945,903 | 61.77% |

2 | Ethereum | ETH | 7 August 2015 | 26,164,459,704 | 9.93% |

3 | Ripple | XRP | 4 August 2013 | 26,164,459,704 | 9.93% |

4 | Bitcoin Cash | BCH | 23 July 2017 | 6,059,789,428 | 2.30% |

5 | Bitcoin SV | BSV | 9 November 2018 | 4,290,029,659 | 1.63% |

6 | Tether | USDT | 25 February 2015 | 4,643,212,805 | 1.76% |

7 | Litecoin | LTC | 29 April 2013 | 3,889,681,824 | 1.48% |

8 | EOS | EOS | 1 July 2017 | 3,366,250,140 | 1.28% |

9 | BinanceCoin | BNB | 25 July 2017 | 3,138,663,736 | 1.19% |

10 | Tezos | XTZ | 2 October 2017 | 2,103,907,641 | 0.80% |

11 | ChainLink | LINK | 20 September 2017 | 1,520,607,569 | 0.58% |

12 | Cardano | ADA | 1 October 2017 | 1,268,987,677 | 0.48% |

13 | Stellar | XLM | 5 August 2014 | 1,183,231,787 | 0.45% |

14 | TRON | TRX | 13 September 2017 | 1,136,886,287 | 0.43% |

15 | Monero | XMR | 21 May 2014 | 1,143,443,765 | 0.43% |

16 | Huobi Token | HT | 3 February 2018 | 1,063,188,577 | 0.40% |

Total | 249,821,746,206 | 94.86% |

Cryptocurrency | Before 31 December 2019 | After 31 December 2019 | ||||||
---|---|---|---|---|---|---|---|---|

Mean | Stdev. | Skewness | Kurtosis | Mean | Stdev. | Skewness | Kurtosis | |

BTC | 0.0016 | 0.0427 | −0.1527 | 10.7409 | 0.0039 | 0.0414 | −3.4812 | 44.5290 |

ETH | 0.0024 | 0.0714 | −3.4274 | 74.6109 | 0.0060 | 0.0551 | −2.5411 | 29.9171 |

XRP | 0.0015 | 0.0727 | 2.0756 | 32.9133 | 0.0021 | 0.0660 | −0.3960 | 26.4318 |

BCH | −0.0008 | 0.0794 | 0.6179 | 10.4098 | 0.0018 | 0.0603 | −1.8145 | 24.2868 |

BSV | 0.0008 | 0.0901 | 0.8643 | 19.9132 | 0.0015 | 0.0814 | 2.8755 | 46.5471 |

USDT | −0.0001 | 0.0211 | −12.2749 | 829.3628 | 0.0000 | 0.0055 | 0.1522 | 37.9746 |

LTC | 0.0009 | 0.0645 | 1.7163 | 28.5632 | 0.0030 | 0.0540 | −1.5536 | 16.3358 |

EOS | 0.0010 | 0.0827 | 2.2245 | 27.6377 | 0.0030 | 0.0545 | −2.0790 | 22.8957 |

BNB | 0.0055 | 0.0787 | 1.3888 | 15.1944 | 0.0003 | 0.0502 | −3.3523 | 38.3843 |

XTZ | −0.0004 | 0.0751 | 0.1255 | 10.5396 | 0.0019 | 0.0634 | −2.1090 | 24.3520 |

LINK | 0.0027 | 0.0812 | 0.7048 | 7.1339 | 0.0065 | 0.0711 | −1.4227 | 18.0953 |

ADA | 0.0003 | 0.0792 | 2.9094 | 29.3140 | 0.0061 | 0.0623 | −1.1089 | 14.6842 |

XLM | 0.0015 | 0.0754 | 2.0089 | 19.6020 | 0.0050 | 0.0668 | 1.6195 | 21.9256 |

TRX | 0.0023 | 0.0963 | 2.1343 | 19.3240 | 0.0022 | 0.0545 | −2.2636 | 24.9947 |

XMR | 0.0016 | 0.0703 | 0.6497 | 9.6001 | 0.0029 | 0.0509 | −2.4056 | 26.4712 |

HT | 0.0009 | 0.0518 | 0.6165 | 7.6063 | 0.0021 | 0.0431 | −3.5911 | 49.8863 |

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## Share and Cite

**MDPI and ACS Style**

Almeida, D.; Dionísio, A.; Ferreira, P.; Vieira, I.
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis. *FinTech* **2023**, *2*, 294-310.
https://doi.org/10.3390/fintech2020017

**AMA Style**

Almeida D, Dionísio A, Ferreira P, Vieira I.
Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis. *FinTech*. 2023; 2(2):294-310.
https://doi.org/10.3390/fintech2020017

**Chicago/Turabian Style**

Almeida, Dora, Andreia Dionísio, Paulo Ferreira, and Isabel Vieira.
2023. "Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis" *FinTech* 2, no. 2: 294-310.
https://doi.org/10.3390/fintech2020017