کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11023413 1701295 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Return and volatility spillovers among cryptocurrencies
ترجمه فارسی عنوان
بازگشت و نوسانات نوسان در میان بورس اوراق بهادار
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 173, December 2018, Pages 122-127
نویسندگان
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