Cryptocurrency and VND/USD exchange rate markets during the COVID-19 and Russia-Ukraine crises


Authors

  • Ngo Thai Hung University of Finance – Marketing
  • Nguyen Thi Ngoc Ha University of Finance – Marketing
  • Pham Thi Thu Thao University of Finance – Marketing
  • Huynh Thi Thuy Duong University of Finance – Marketing
DOI: https://doi.org/10.57110/vnu-jeb.v4i3.299

Keywords:

VND/USD, cryptocurrency, spillover index, wavelet coherence

Abstract

This study explores the influence of the cryptocurrency markets (Bitcoin Cash, Bitcoin, XRP, Ethereum, and EOS) on foreign exchange rates (VND/USD) from January 1, 2020 to December 1, 2023 using spillover index and wavelet analysis techniques. The findings indicate a total spillover index of 43.4%, highlighting a significant relationship between the two markets during the COVID-19 period, while the cryptocurrency markets negatively impact VND/USD during the Russia-Ukraine conflict. This study provides valuable insights for investors and policymakers aiming to mitigate risks and optimize profitability strategies.

References

Ajayi, F. I., Oloyede, A. J., & Oluwaleye, T. O. (2022). Cryptocurrency shock and exchange rate behaviour in Nigeria. African Journal of Accounting and Financial Research, 5(2), 32-47.

Almansour, B. Y., & Inairat, M. (2020). The impact of exchange rates on bitcoin returns: Further evidence from a time series framework. International Journal of Scientific & Technology Research, 9(02), 4577-4581

Almansour, B. Y., Uddin, M. M., Elkrghli, S., & Almansour, A. Y. (2023). The Dynamic Connectedness between Cryptocurrencies and Foreign Exchange Rates: Evidence by TVP-VAR Approach. Industrial Engineering & Management Systems, 22(3), 349-362.

Alonso-Monsalve, S., Suárez-Cetrulo, A. L., Cervantes, A., & Quintana, D. (2020). Convolution on neural networks for high-frequency trend prediction of cryptocurrency exchange rates using technical indicators. Expert Systems with Applications, 149, 113250.

Anyikwa, I., & Phiri, A. (2023). Connectedness and spillover between African equity, commodity, foreign exchange and cryptocurrency markets during the COVID-19 and Russia-Ukraine conflict. Future Business Journal, 9(1), 48.

Cerqueti, R., Giacalone, M., & Mattera, R. (2020). Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Information Sciences, 527, 1-26.

Corelli, A. (2018). Cryptocurrencies and exchange rates: A relationship and causality analysis. Risks, 6(4), 111.

Chan, S., Chu, J., Nadarajah, S., & Osterrieder, J. (2017). A statistical analysis of cryptocurrencies. Journal of Risk and Financial Management, 10(2), 12.

Chemkha, R., BenSaïda, A., & Ghorbel, A. (2021). Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management. Journal of Multinational Financial Management, 59, 100666.

Chen, C. T., Chiang, L. K., Huang, Y. C., & Huang, S. H. (2019, October). Forecasting interaction of exchange rates between fiat currencies and cryptocurrencies based on deep relation networks. In 2019 IEEE International Conference on Agents (ICA) (pp. 69-72). IEEE.

Cheong, C. W. (2019). Cryptocurrencies vs global foreign exchange risk. The Journal of Risk Finance, 20(4), 330-351.

Drożdż, S., Kwapień, J., Oświęcimka, P., Stanisz, T., & Wątorek, M. (2020). Complexity in economic and social systems: Cryptocurrency market at around COVID-19. Entropy, 22(9), 1043.

Dumitrescu, B. A., Obreja, C., Leonida, I., Mihai, D. G., & Trifu, L. C. (2023). The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies. Journal of Risk and Financial Management, 16(4), 232.

Elsayed, A. H., Gozgor, G., & Lau, C. K. M. (2022). Causality and dynamic spillovers among cryptocurrencies and currency markets. International Journal of Finance & Economics, 27(2), 2026-2040.

Grobys, K., & Sapkota, N. (2019). Contagion of uncertainty: Transmission of risk from the cryptocurrency market to the foreign exchange market. SSRN 3407178.

Gudarzi Farahani, Y., Adeli, O. A., & Ghorbani, A. (2023). Investigating the impact of cryptocurrency tail risk on liquidity and exchange rates growth with time varying parameters (TVP-VAR). The Journal of Economic Studies and Policies, 10(1), 175-198.

Guo, Z. Y. (2017). GARCH model with fat-tailed distributions and bitcoin exchange rate returns. SSRN 3666106.

Hsu, S. H. (2022). Investigating the co-volatility spillover effects between cryptocurrencies and currencies at different natures of risk events. Journal of Risk and Financial Management, 15(9), 372

Hsu, S. H., Sheu, C., & Yoon, J. (2021). Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions. The North American Journal of Economics and Finance, 57, 101443.

Hung, N. T. (2022). The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis. Economics Bulletin, 42(1), 109-123.

Jimoh, S. O., & Oluwasegun, O. B. (2020). The effect of cryptocurrency returns volatility on stock prices and exchange rate returns volatility in Nigeria. Acta Universitatis Danubius. Œconomica, 16(6).

Kostika, E., & Laopodis, N. T. (2020). Dynamic linkages among cryptocurrencies, exchange rates and global equity markets. Studies in Economics and Finance, 37(2), 243-265.

Li, X., & Wang, C. A. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95, 49-60.

Mallick, S. K., & Mallik, D. A. (2023). A study on the relationship between Crypto-currencies and official Indian foreign exchange rates. Materials Today: Proceedings, 80, 3786-3793.

Nam, N. H. (2023). Impact of cryptocurrencies on financial markets. The VMOST Journal of Social Sciences and Humanities, 65(2), 03-15.

Naresh, G., & Ananda, S. (2021). Bitcoin prices and rupee-dollar exchange rates during COVID-19. International Journal of Electronic Finance, 10(3), 180-190.

Nguyen, V. C. (2022). The Impact of the COVID-19 Pandemic and the Cryptocurrency Price on the Stock Exchange Index–Evidence from Shanghai Stock Exchange. VNU Journal of Economics and Business, 2(1).

Osterrieder, J. (2016). The statistics of bitcoin and cryptocurrencies. SSRN 2872158.

Palazzi, R. B., Júnior, G. D. S. R., & Klotzle, M. C. (2021). The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies. Finance Research Letters, 42, 101893.

Qarni, M. O., & Gulzar, S. (2021). Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets. Financial Innovation, 7(1), 1-37.

Downloads

Download data is not yet available.

Additional Files

Published

25-06-2024

Abstract View

71

PDF Downloaded

0

How to Cite

Ngo Thai Hung, Nguyen Thi Ngoc Ha, Pham Thi Thu Thao, & Huynh Thi Thuy Duong. (2024). Cryptocurrency and VND/USD exchange rate markets during the COVID-19 and Russia-Ukraine crises. VNU JOURNAL OF ECONOMICS AND BUSINESS, 4(3), 74. https://doi.org/10.57110/vnu-jeb.v4i3.299

Issue

Section

Original Article

Most read articles by the same author(s)