Exploring bitcoin dynamics against the backdrop of COVID-19 : an investigation of major global events

COVID-19 has signifcantly infuenced global fnancial markets, including Bitcoin. Recent studies have focused on investigating the frst wave of the COVID-19 outbreak and accounting for market changes, which were mostly due to the pandemic. This research not only analyzes the contagion efects of COVID-19 but also considers aftermath events beyond the frst pandemic wave to examine spillovers of Bitcoin. The study employs Diebold and Yilmaz's method to explore the static and dynamic spillovers of the selected variables and identifes several major global events, including crypto-specifc afairs, macroeconomic policies, and geopolitical conficts, to explain the new market dynamics of Bitcoin using network analysis. The fndings identify a few high-contagion periods related to Bitcoin. The paper also found that Bitcoin is more likely to produce extreme returns and is more connected to other markets. Contagion efects "from" and"to" other markets are asymmetrical in terms of arrival time and market response. Bitcoin is more likely to be afected by other markets in extreme situations and receives spillovers from them sooner than it transmits spillovers to others. In the context of various global events, impacts arising from developed countries are stronger. China still has some impact on cryptocurrency markets, but they are waning. Bitcoin is thus not a safe haven from the shocks of global events, but can sometimes work as a hedge or diversifer. The results ofer alternative explanations for Bitcoin's diferent market dynamics and enrich our understanding of Bitcoin's safe haven, hedge, and diversifer properties within a diversifed portfolio.