IDEAS home Printed from https://ideas.repec.org/a/fau/fauart/v69y2019i4p324-341.html
   My bibliography  Save this article

Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms

Author

Listed:
  • Agata Kliber

    (Department of Applied Mathematics, Poznan University of Economics and Business, Poznan, Poland)

  • Katarzyna Wlosik

    (Department of Monetary Policy and Financial Markets, Poznan University of Economics and Business, Poznan, Poland)

Abstract

The aim of this research is to investigate interdependencies between leading cryptocurrency exchanges (American, European and Japanese ones). We examine price and volume spillovers of daily frequency, to answer the question whether these platforms are integrated one with another or whether they form different isolated clusters. The results show that the big exchanges are indeed closely linked one to another. However, the magnitude of spillovers is higher in the case of prices, compared to volume. We also find that the analysed markets react with the same intensity to the price shocks coming from the other markets as to their own shocks. They are, however, more isolated in terms of volume spillovers.

Suggested Citation

  • Agata Kliber & Katarzyna Wlosik, 2019. "Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(4), pages 324-341, August.
    • Handle: RePEc:fau:fauart:v:69:y:2019:i:4:p:324-341
    as

    Download full text from publisher

    File URL: http://journal.fsv.cuni.cz/mag/article/show/id/1441
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    2. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

    More about this item

    Keywords

    bitcoin; cryptocurrency; volume; price spillovers; spillover index;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:69:y:2019:i:4:p:324-341. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.