Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market

Figure 7

Net spillover network analysis of cryptocurrency market before and after COVID-19. (a) Net spillover network pre-COVID-19 (volatility spillovers). (b) Net spillover network post-COVID-19 (volatility spillovers). (c) Net spillover network pre-COVID-19 (return spillovers). (d) Net spillover network post-COVID-19 (return spillovers). Note: this figure shows the net directional connectedness among the ten cryptocurrencies’ volatility and returns. The size of each node indicates the overall magnitude of spillover transmission for each cryptocurrency, which is measured by net connectedness in Table 3. Node’s size indicates the spillover intensity for each cryptocurrency, and edge’s direction represents the pairwise spillover direction between different cryptocurrencies.

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