Crude oil, crypto-assets and dependence: the impact of the COVID-19 pandemic

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