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Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak

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Submitted:

15 March 2021

Posted:

17 March 2021

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Abstract
The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoin, Eos, BitcoinCash, Binance, Stellar, and Tron and their daily closing price data are captured from coinmarketcap over the period from 9/13/2017 to 9/21/2020. To determine the order of integration, the Augmented Dickey-Fuller (ADF), Phillips-Perron (PP), and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) unit root tests were carried out, and all of the cryptocurrencies were found to be integrated of order 1 i.e. I(1). It has been found that there is strong evidence of a long-run relationship between Bitcoin and altcoins irrespective of whether it is pre-pandemic or pandemic period. Hence these cryptocurrencies' prices and their inter-relationship are resilient to the pandemic.
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Subject: Business, Economics and Management  -   Accounting and Taxation
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
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