Browsing by Author "Emon Kalyan Chowdhury1"

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    Volatility in Cryptocurrency Market – Before and During Covid-19 Pandemic
    (CIU Journal, 2020-12-01) Emon Kalyan Chowdhury1
    This paper aims to measure the nature of volatility in the cryptocurrency market before and during Covid-19 pandemic period. To achieve this goal, the Wald test, Granger Causality and Generalized Autoregressive Conditional Heteroskedasticity (1,1) have been applied considering the daily US dollar dominated closing prices of 15 leading cryptocurrencies and volatility index (VIX- CBOE) from 1 January, 2019 to 5 June, 2020. The presence of structural breaks in all the selected cryptocurrencies is observed which result in erroneous forecasting in cryptocurrency market. The small size of cryptocurrency market hinders the risk diversification. It is further noticed that cryptocurrencies are exposed to the systematic bubble risks and therefore it is very unpredictable. Inclusion of cryptocurrencies in the portfolio along with conventional instruments like stocks, bonds, precious metals, commodities, and paper currencies may gear up the overall return on investment and increase the possibility of risk diversification if necessary investment precautions are taken.