Return and volatility spillovers among cryptocurrencies

Koutmos, Dimitrios

doi:10.1016/j.econlet.2018.10.004

Cited by 223 publications

(112 citation statements)

References 19 publications

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“…Figure 2 shows an average closer to 65% from October 2018, with the first three PCs now accounting for 85% of variation. This seems to run counter to Liew et al (2019) but is consistent with Koutmos (2018) and Ji et al (2019) who report that return and volatility spillovers among cryptocurrencies have increased over time.…”

Section: Empirical Analysissupporting

confidence: 76%

“…While our paper supplements the studies on cryptocurrency interconnectedness of Koutmos (2018), Antonakakis et al (2019) and Ji et al (2019), it is most related to the work of Liew et al (2019). They find that the number of factors necessary to explain returns increases over time, as the proportion of variance explained by the first principal component declines substantially.…”

Section: Introductionmentioning

confidence: 71%

“…The empirical evidence supports this and demonstrates that interdependence has increased over time (e.g. Koutmos, 2018; Antonakakis et al , 2019; Ji et al , 2019). However, there is some debate as to whether connectedness is stronger when returns are positive (Ji et al , 2019) or negative (Antonakakis, et al , 2019).…”

Section: Introductionmentioning

confidence: 72%

“…As the literature has demonstrated the important role of bitcoin in determining interdependence across cryptocurrency markets (e.g. Balcilar et al , 2017; Koutmos, 2018; Ji et al , 2019), we then examine whether this set of factors is related to bitcoin returns.…”

Section: Introductionmentioning

confidence: 99%

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One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Smales

2020

J of App Econs and Policy

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We utilise principal component analysis to determine whether a (small) set of factors can explain cryptocurrency returns and whether this varies over time. We find that a substantial proportion of cryptocurrency return variation is explained by a single principal component that is highly correlated with bitcoin returns. The explanatory power of this factor is greatest for larger cryptocurrencies and increases markedly in the most recent part of the sample. Our results have implications for investors determining optimal portfolio decisions and for policy-makers wary of systemic risk.

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Section: Empirical Analysissupporting

confidence: 76%

Section: Introductionmentioning

confidence: 71%

Section: Introductionmentioning

confidence: 72%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Smales

2020

J of App Econs and Policy

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“…Recently, some studies that examine interconnectedness and spillovers in the cryptocurrency market arose. Koutmos studied interconnectedness among 18 major cryptocurrencies and found, among others, a growing interdependence among them. Another noticeable example is given by Yi et al, who investigate static and dynamic volatility connectedness among eight typical cryptocurrencies and build a volatility connectedness network that links 52 cryptocurrencies by using the LASSO‐VAR for estimating high‐dimensional VARs.…”

Section: Introductionmentioning

confidence: 99%

Vector error correction models to measure connectedness of Bitcoin exchange markets

Giudici

Pagnottoni

2019

Appl Stoch Models Bus & Ind

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Bitcoins are traded on various exchange platforms and, therefore, prices may differ across trading venues. We aim to investigate return connectedness across eight of the major exchanges of Bitcoin, both from a static and a dynamic viewpoint. To this end, we employ an extension of the order‐invariant forecast error variance decomposition proposed by Diebold and Yilmaz (2012) to a generalized vector error correction framework. Our results suggest that there is strong connectedness among the exchanges, as expected, although some of them behave dissimilarly. We identify Bitfinex and Coinbase as leading exchanges during the considered period, while Kraken as a follower exchange. We also obtain that connectedness across exchanges is strongly dynamic, as it evolves over time.

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Blockchain and Cryptocurrencies

Barde

2022

Emerging Computing Paradigms

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Return and volatility spillovers among cryptocurrencies

Cited by 223 publications

References 19 publications

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Vector error correction models to measure connectedness of Bitcoin exchange markets

Blockchain and Cryptocurrencies

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