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High-frequency return and volatility spillovers among cryptocurrencies

Sensoy, Ahmet ORCID: 0000-0001-7967-5171, Silva, Thiago Christiano ORCID: 0000-0003-2631-4393, Corbet, Shaen ORCID: 0000-0001-7430-7417 and Tabak, Benjamin Miranda ORCID: 0000-0003-2631-4393 (2021) High-frequency return and volatility spillovers among cryptocurrencies. Applied Economics . ISSN 0003-6846

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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

Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:Cryptocurrency; Bitcoin; Network; Spillover; Minimal Spanning Tree; Hierarchical Clustering; Machine Learning
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Taylor & Francis
Official URL:https://dx.doi.org/10.1080/00036846.2021.1899119
Copyright Information:© 2021 Taylor & Francis (CC-BY-NC)
Funders:Conselho Nacional de Desenvolvimento Científico e Tecnológico [425123/2018-9,308171/2019-5,310541/2018-2,408546/2018-2], Turkish Academy of Sciences - Outstanding Young Scientists Award Program (TUBA-GEBIP).
ID Code:25903
Deposited On:26 May 2021 17:14 by Thomas Murtagh . Last Modified 26 May 2021 17:14

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