Crude oil, crypto-assets and dependence: the impact of the COVID-19 pandemic
International Journal of Energy Sector Management
ISSN: 1750-6220
Article publication date: 17 May 2022
Issue publication date: 21 March 2023
Abstract
Purpose
This paper aims to empirically investigate the extent to which interdependence in markets may be driven by COVID-19 effects.
Design/methodology/approach
The current global COVID-19 pandemic is adversely affecting the oil market (West Texas Intermediate) and crypto-assets markets.
Findings
The authors find that the dependence structure changes significantly after the global pandemic, providing valuable information on how the COVID-19 crisis affects interdependencies. The results also prove that the performance of digital gold seems to be better compared to stablecoin.
Originality/value
The authors fit copulas to pairs of before and after returns, analyze the observed changes in the dependence structure and discuss asymmetries on propagation of crisis. The authors also use the findings to construct portfolios possessing desirable expected behavior.
Keywords
Acknowledgements
Conflict of interest: The authors declare that they have no conflict of interest.
Citation
Mzoughi, H., Ghabri, Y. and Guesmi, K. (2023), "Crude oil, crypto-assets and dependence: the impact of the COVID-19 pandemic", International Journal of Energy Sector Management, Vol. 17 No. 3, pp. 552-568. https://doi.org/10.1108/IJESM-10-2021-0016
Publisher
:Emerald Publishing Limited
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