Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic

TL;DR

This paper investigates how skewness and kurtosis interact in cryptocurrency markets during COVID-19, revealing increased volatility and extreme behaviors, and suggesting their combined analysis can enhance market understanding.

Contribution

It uncovers the evolving relationship between skewness and kurtosis in cryptocurrencies during the pandemic, highlighting the importance of higher moments as analytical tools.

Findings

Increased clustering around distribution tails during COVID-19

Dominance of extreme values as the pandemic progresses

Enhanced understanding of market volatility through higher moments

Abstract

We examine how skewness interacts with kurtosis within the cryptocurrency market. We show that during the COVID-19 pandemic there are more clusters of observations around the two flanks, highlighting the presence of a volatile behavior. Moreover, we document the evolvement of the interrelationship as the pandemic progresses, identifying the domination of the extremes. Our findings advance the thinking that by exploiting the interrelationship between the two higher moments of cryptocurrencies, investors and researchers can have in their arsenal an additional analytic tool.