Co-explosivity in the cryptocurrency market

By Elie Bouri, Syed Jawad Hussain Shahzad, David Roubaud. Finance Research Letters, 2019

328 citations recorded by the source corpus.

Most of the limited evidence on the exponential price spikes (i.e. price explosivity) in the cryptocurrency market mainly considers the case of Bitcoin, although other cryptocurrencies have gradually eroded Bitcoin's dominance. Importantly, none has been documented as to whether explosivity periods in cryptocurrencies are contemporaneously related. Accordingly, we date-stamp price explosivity in leading cryptocurrencies and reveal that all cryptocurrencies investigated herein were characterised by multiple explosivity. Then, we determine whether explosivity in one cryptocurrency can lead to explosivity in other cryptocurrencies. Results show evidence of a multidirectional co-explosivity behaviour that is not necessarily from bigger to smaller and younger markets.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/7f2d37a71a77b10329258126cf89a69d86554caf

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Citations in the corpus

Cryptocurrency trading: a comprehensive survey (2020, background): “[240] date-stamped price explosiveness in seven large cryptocurrencies and revealed evidence of multiple periods of explosivity in all cases.”
A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets (2020, background): “…markets have been attracting a vast esearch interest from the point of view of contagion, adversely mpacting portfolio risk management, strategic asset allocation, nd financial instruments pricing (Baumohl, 2019; Kristjanpoller nd Bouri, 2019; Malik and Umar, 2019; Celeste et al., 2020).”
Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? (2019, background): “, 2018), bubble formation (Cheah and Fry, 2015; Bouri et al., 2018; Corbet et al. 2018a), high price volatility (Molnár et al.”