Capture the Contagion Network of Bitcoin: Evidence from Pre and Mid COVID-19

Xiaochun Guo, Fengbin Lu, Yunjie Wei*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


COVID-19 is the first global scale crisis since the inception of Bitcoin. We compare the contagion phenomenon of Bitcoin and other financial markets or assets pre and during the COVID-19 shock in both contemporaneous and non-contemporaneous manner. This paper uses the directed acyclic graph (DAG), spillover index, and network topology to provide strong evidence on the directional contagion outcomes of Bitcoin and other assets. The empirical results show that the contagion effect between Bitcoin and developed markets is strengthened during the COVID-19 crisis. Particularly, European market has a dominant role. Excluding Bitcoin’s own shocks, United State and European markets are the main contagion sources to Bitcoin. European market also works as a intermediary to deliver infectious from United State and market fear. The findings show that gold always has contagion effect with Bitcoin, while gold, US dollar and bond market are the contagion receivers of Bitcoin under the shock of COVID-19. The empirical results further proved the safe haven, hedge and diversifier potential of Bitcoin in economic stable time, but also shows that the sustainability of these properties is undermined during the market turmoil.
Original languageEnglish
Article number101484
JournalResearch in International Business and Finance
Number of pages14
Publication statusPublished - Dec 2021


  • Bitcoin
  • COVID-19
  • Contagion
  • DAG
  • Financial market risk

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