کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10226767 1701298 2018 61 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
چکیده انگلیسی
Using the spillover index approach and its variants, we examine both static and dynamic volatility connectedness among eight typical cryptocurrencies. The results reveal that their connectedness fluctuates cyclically and has shown an obvious rise trend since the end of 2016. In the variance decomposition framework, we further construct a volatility connectedness network linking 52 cryptocurrencies using the LASSO-VAR for estimating high-dimensional VARs. We find that these 52 cryptocurrencies are tightly interconnected and “mega-cap” cryptocurrencies are more likely to propagate volatility shocks to others. However, some unnoticeable cryptocurrencies (e.g., Maidsafe Coin) are also significant net-transmitters of volatility connectedness and even have larger contribution of volatility spillovers to others.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 60, November 2018, Pages 98-114
نویسندگان
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