Hammami Algia & Bouri Abdelfatteh,
Purpose In this paper, we try to determine whether there are conditional correlation and volatility spillovers between oil-crypto currency pairs during the COVID-19 pandemic and the negative oil price periods. Design/ Methodology/Approach In fact, on a sample of the top seven crypto-currencies, such as the (QTUM, NEO, LTC, ETH, BNB, BTC, BCH) and other traditional assets, namely the WTI and the Brent spot prices during the COVID -19 period (19/08/2019 to 31/12/2020), the authors used the BEKK- GARCH and DCC-GARCH to capture the transmission volatility and the dynamic conditional correlation between all the series. Findings We found that the return spillovers differ across pairs. In fact, the bidirectional volatility spillovers between the WTI, the (BTC,BNB, BCH, and ETH) are confirmed. Moreover, there evidence of the existence of volatility spillovers between Brent and the (QTUM , ETH , BNB , BTC, BCH , NEO). In fact, the findings obtained by DCC-GARCH showed that the heterogeneous patterns in the time-varying correlations are evident between the WTI and Brent. We also noticed that only the QTUM and the BNB are safe haven assets for Brent during COVID-19, on the other hand, the BTC acts only as a haven asset WTI while the other Crypto-currencies are weak safe haven or even weak diversifiers. Practical Implications This study will generate new knowledge regarding the volatility spillover between oil prices and crypto-currencies during the COVID-19 pandemic. On the practical level, the aim of this research will be very important of the major investors and decision makers in the governments of several countries in the word. Originality/value Although the existing studies refer to the transmission volatility between oil prices and Crypto-currencies during the Covid-19 pandemic, to the best of our knowledge, this is the first study to have investigated the relationship between 5 Crypto-currencies, such as ( LTC, ETH, BNB, BTC, BCH) and two oil prices, like (WTI, Brent. We also introduced two Crypto-currencies, which are (Neo, QTUM). Then, the comparison between the two oil series is the central issue of our paper, which provides better insights about all the crypto-currencies and oil markets