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Contagion Effect in Cryptocurrency Market

Author

Listed:
  • Paulo Ferreira

    (VALORIZA—Research Center for Endogenous Resource Valorization, 7300 Portalegre, Portugal
    Instituto Politécnico de Portalegre, 7300 Portalegre, Portugal
    CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal)

  • Éder Pereira

    (Programa de Modelagem Computacional, SENAI Cimatec, Av. Orlando Gomes 1845, 41650-010 Salvador, BA, Brazil
    Instituto Federal do Maranhão, 65075-441 São Luís-MA, Brazil)

Abstract

The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies’ prices showed a kind of bubble and a crash at the end of 2017. Based on this event, and on the fact that Bitcoin is the most recognized cryptocurrency, we propose to evaluate the contagion effect between Bitcoin and other major cryptocurrencies. Using the Detrended Cross-Correlation Analysis correlation coefficient (ΔρDCCA) and comparing the period after and before the crash, we found evidence of a contagion effect, with this particular market being more integrated now than in the past—something that should be taken into account by current and potential investors.

Suggested Citation

  • Paulo Ferreira & Éder Pereira, 2019. "Contagion Effect in Cryptocurrency Market," JRFM, MDPI, vol. 12(3), pages 1-8, July.
    • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:115-:d:247119
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    References listed on IDEAS

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    Cited by:

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    4. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
    5. Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    6. Jean-Guillaume Dumas & Sonia Jimenez-Garcès & Florentina Șoiman, 2021. "Blockchain technology and crypto-assets market analysis: vulnerabilities and risk assessment," Working Papers hal-03112920, HAL.
    7. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    8. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    9. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    10. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    11. Anderson Palmeira & Éder Pereira & Paulo Ferreira & Luisa Maria Diele-Viegas & Davidson Martins Moreira, 2022. "Long-Term Correlations and Cross-Correlations in Meteorological Variables and Air Pollution in a Coastal Urban Region," Sustainability, MDPI, vol. 14(21), pages 1-12, November.
    12. Georgiana-Loredana Schipor (Frecea), 2019. "Risks and Opportunities in the Cryptocurrency Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 879-883, December.
    13. Stephen Chan & Jeffrey Chu & Yuanyuan Zhang & Saralees Nadarajah, 2020. "Blockchain and Cryptocurrencies," JRFM, MDPI, vol. 13(10), pages 1-3, September.
    14. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
    15. Dora Almeida & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2023. "Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis," FinTech, MDPI, vol. 2(2), pages 1-17, May.
    16. Georgiana-Loredana Schipor (Frecea), 2019. "Investing Trust in Blockchain Technology: Bitcoin Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 884-888, December.
    17. Wen, Zhuzhu & Bouri, Elie & Xu, Yahua & Zhao, Yang, 2022. "Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    18. Chika Anastesia Anisiuba & Obiamaka P. Egbo & Felix C. Alio & Chuka Ifediora & Ebele C. Igwemeka & C. O. Odidi & Hillary Chijindu Ezeaku, 2021. "Analysis of Cryptocurrency Dynamics in the Emerging Market Economies: Does Reinforcement or Substitution Effect Prevail?," SAGE Open, , vol. 11(1), pages 21582440211, March.
    19. Jean-Guillaume Dumas & Sonia Jimenez-Garces & Florentina Șoiman, 2021. "Risk analyses of the crypto-market: A literature review," Post-Print hal-03112920, HAL.
    20. Shahzad, Syed Jawad Hussain & Bouri, Elie & Ahmad, Tanveer & Naeem, Muhammad Abubakr & Vo, Xuan Vinh, 2021. "The pricing of bad contagion in cryptocurrencies: A four-factor pricing model," Finance Research Letters, Elsevier, vol. 41(C).
    21. Rasoul Amirzadeh & Asef Nazari & Dhananjay Thiruvady & Mong Shan Ee, 2023. "Modelling Determinants of Cryptocurrency Prices: A Bayesian Network Approach," Papers 2303.16148, arXiv.org.
    22. Florentina Șoiman & Jean-Guillaume Dumas & Sonia Jimenez-Garces, 2022. "The return of (I)DeFiX [Le rendement de (I)DeFiX]," Working Papers hal-03625891, HAL.
    23. Robert Akunga & Ahmad Hassan Ahmad & Simeon Coleman, 2023. "Financial market integration in sub‐Saharan Africa: How important is contagion?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3637-3653, October.
    24. Florentina c{S}oiman & Guillaume Dumas & Sonia Jimenez-Garces, 2022. "The return of (I)DeFiX," Papers 2204.00251, arXiv.org.

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