High frequency volatility co-movements in cryptocurrency markets
By Paraskevi Katsiampa, Shaen Corbet, Brian M. Lucey. Journal of international financial markets, institutions, and money, 2019
238 citations recorded by the source corpus.
Through the application of Diagonal BEKK and Asymmetric Diagonal BEKK methodologies to intra-day data for eight cryptocurrencies, this paper investigates not only conditional volatility dynamics of major cryptocurrencies, but also their volatility co-movements. We first provide evidence that all conditional variances are significantly affected by both previous squared errors and past conditional volatility. It is also shown that both methodologies indicate that cryptocurrency investors pay the most attention to news relating to Neo and the least attention to news relating to Dash, while shocks in OmiseGo persist the least and shocks in Bitcoin persist the most, although all of the considered cryptocurrencies possess high levels of persistence of volatility over time. We also demonstrate that the conditional covariances are significantly affected by both cross-products of past error terms and past conditional covariances, suggesting strong interdependencies between cryptocurrencies. It is also demonstrated that the Asymmetric Diagonal BEKK model is a superior choice of methodology, with our results suggesting significant asymmetric effects of positive and negative shocks in the conditional volatility of the price returns of all of our investigated cryptocurrencies, while the conditional covariances capture asymmetric effects of good and bad news accordingly. Finally, it is shown that time-varying conditional correlations exist, with our selected cryptocurrencies being strongly positively correlated, further highlighting interdependencies within cryptocurrency markets.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/d6a2aac02e3069a32237dd62bfa0bd0adbb08966
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Information Systems
- Shaen Corbet
- Brian M. Lucey
- C. Larkin
- Paraskevi Katsiampa
- L. Yarovaya
- Andrew Urquhart
- Ender Demir
- G. Danisman
Citations in the corpus
- Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, background): “The 2007 financial market crises was identified as a particularly significant outlier event driving substantial contagion and spillover effects around the world (Longstaff [2010], Kim et al. [2015], Xu et al. [2018]).”
- Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, unknown): “…and show large statistically significant improvements in the point forecasting of Bitcoin when using combinations of univariate models while Katsiampa et al (2019) show strong interdependencies between cryptocurrency volatilities and that time-varying conditional correlations of volatility…”
- The impact of macroeconomic news on Bitcoin returns (2020, unknown): “Similar research has been conducted on the newly developed Bitcoin futures market (Corbet et al. [2018a]; Katsiampa et al. [2019b]; Katsiampa et al. [2019a]).”
- The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020, background): “Ramelli and Wagner [2020] identified that the COVID19 pandemic had morphed into an economic crisis amplified through financial channels through a whipsaw pattern as corporate investors became increasingly worried about the accumulation of corporate debt and the substantial liquidity shortage that ha”