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Return and volatility spillovers among cryptocurrencies

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  • Koutmos, Dimitrios

Abstract

This paper measures interdependencies among 18 major cryptocurrencies and shows that (i) Bitcoin is the dominant contributor of return and volatility spillovers among all the sampled cryptocurrencies; (ii) return and volatility spillovers have risen steadily over time; (iii) there are ’spikes’ in spillovers during major news events regarding cryptocurrencies. These findings suggest growing interdependence among cryptocurrencies and, by extension, a higher degree of contagion risk. It may be the case that cryptocurrencies are becoming more integrated, albeit this makes for interesting future empirical testing. In addition, the time-varying nature of spillovers reveals a certain dimension of uncertainty regarding the future of these digital currencies.

Suggested Citation

  • Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
  • Handle: RePEc:eee:ecolet:v:173:y:2018:i:c:p:122-127
    DOI: 10.1016/j.econlet.2018.10.004
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:finana:v:63:y:2019:i:c:p:257-272 is not listed on IDEAS
    2. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    3. repec:eee:riibaf:v:48:y:2019:i:c:p:335-339 is not listed on IDEAS
    4. repec:gam:jjrfmx:v:12:y:2019:i:1:p:31-:d:205554 is not listed on IDEAS
    5. repec:eee:ecofin:v:48:y:2019:i:c:p:32-47 is not listed on IDEAS

    More about this item

    Keywords

    Bitcoin; Cryptocurrencies; Spillovers; Variance decompositions; Vector autoregression;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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