Exploring the dynamic relationships between cryptocurrencies and other financial assets

By Shaen Corbet, Andrew Meegan, C. Larkin, Brian M. Lucey, L. Yarovaya. 2018

1,226 citations recorded by the source corpus.

We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/3b539f3d38dab6a25aea93f918ea1d0d8dac6c05

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Citations in the corpus

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, positive): “Our prime interest is to explore the dynamic volatility spillovers between coronavirus and several selected financial markets, in order to understand the contagion effects of volatility shocks using the framework of Diebold and Yilmaz [2012], Gamba-Santamaria et al.”
Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018, neutral): “The results of Corbet et al. (2018) suggest that cryptocurrencies are not connected to conventional markets and may oﬀer short-term diversiﬁcation beneﬁts.”
Optimal vs naïve diversification in cryptocurrencies (2018, background): “…Nadarajah and Chu 2017; Tiwari et al 2017; Khuntia and Pattanayak 2018), the hedging and diversification benefits of Bitcoin (Bouri et al 2017a; Corbet et al 2018a), the unique features of cryptocurrencies (Gkillas and Katsiampa 2018; Phillip et al 2018), the relationship between transaction…”
The impact of macroeconomic news on Bitcoin returns (2020, neutral): “However, taking ﬁndings of Baur et al. [2018] and Corbet et al. [2018] into account, we also can expect that patterns of these dependencies would be diﬀerent from traditional assets.”