High-frequency return and volatility spillovers among cryptocurrencies

Date
2021-03-22
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Source Title
Applied Economics
Print ISSN
0003-6846
Electronic ISSN
1466-4283
Publisher
Routledge
Volume
53
Issue
37
Pages
4310 - 4328
Language
English
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Abstract

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees points out that BTC, LTC and ETH are the most relevant cryptocurrencies in general, serving as connection hubs for linking many other cryptocurrencies. However, their role is challenged lately, potentially due to the increased usage of other cryptocurrencies in time.

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