Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic

•We examine liquidity before during and after the Covid19 crisis.•We find that liquidity and price of various cryptocurrency products have become interrelated.•We hypothesise that this may be down to safe haven flows in the face of the Covid event. We examine the interactions between cryptocurrency price volatility and liquidity during the outbreak of the COVID-19 pandemic. Evidence suggests that these developing digital products have played a new role as a potential safe-haven during periods of substantial financial market panic. Results suggest that cryptocurrency market liquidity increased significantly after the WHO identification of a worldwide pandemic. Significant and substantial interactions between cryptocurrency price and liquidity effects are identified. These results add further support to the argument that substantial flows of investment entered cryptocurrency markets in search of an investment safe-haven during this exceptional black-swan event.