The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets.

Understanding the dynamics of cryptocurrency markets during financial crises such as the recent one caused by the COVID-19 pandemic is crucial for policy makers and investors. In this study, the effect of COVID-19 pandemic on the return-volatility and return-volume relationships for the ten most traded cryptocurrencies, namely Tether, Bitcoin, Ethereum, Ripple, Litecoin, Bitcoin Cash, EOS, Chainlink, Cardano, and Monero is examined. Further, the behavior of cryptocurrencies during COVID-19 pandemic is compared with less volatile markets such as Gold, WTI, and BRENT crude oil markets.