Return and volatility spillovers among cryptocurrencies

By Dimitrios Koutmos. 2018

273 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Information Systems

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Citations in the corpus

Statistical Arbitrage in Cryptocurrency Markets (2019, background): “In a similar spirit, Koutmos (2018) observes an increase in the frequency of return and volatility spillovers in recent times, especially during major news events and oftentimes driven by Bitcoin.”
The non-fungible token (NFT) market and its relationship with Bitcoin and Ethereum (2021, background): “The academic literature has studied the link between different cryptocurrencies and found signiﬁcant interdependencies, as positive time-varying conditional correlations exist [8]; Bitcoin leads in importance for return and volatility spillover, e.g., [9,10].”
Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019, unknown): “Nevertheless, some articles have focused on the multivariate cryptocurrency context, such as Jiang and Liang (2017), Liu (2019), Katsiampa (2019a), Katsiampa (2019b), Koutmos (2018), Borri (2019), Brauneis andMestel (2019) and Chaim and Laurini (2019).”