Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
By Shuyue Yi, Zishu Xu, Gangjin Wang. International Review of Financial Analysis, 2018
393 citations recorded by the source corpus.
Using the spillover index approach and its variants, we examine both static and dynamic volatility connectedness among eight typical cryptocurrencies. The results reveal that their connectedness fluctuates cyclically and has shown an obvious rise trend since the end of 2016. In the variance decomposition framework, we further construct a volatility connectedness network linking 52 cryptocurrencies using the LASSO-VAR for estimating high-dimensional VARs. We find that these 52 cryptocurrencies are tightly interconnected and “mega-cap” cryptocurrencies are more likely to propagate volatility shocks to others. However, some unnoticeable cryptocurrencies (e.g., Maidsafe Coin) are also significant net-transmitters of volatility connectedness and even have larger contribution of volatility spillovers to others.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/e1e9bd382f59e8808dbd451c494d847d70041f54
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
- Shaen Corbet
- Brian M. Lucey
- L. Yarovaya
- C. Larkin
- Andrew Meegan
- Sowmya Subramaniam
- Anamika
- Madhumita Chakraborty
In Information Systems
- Shaen Corbet
- Brian M. Lucey
- L. Yarovaya
- C. Larkin
- Andrew Meegan
- Sowmya Subramaniam
- Anamika
- Madhumita Chakraborty
Citations in the corpus
- The impact of macroeconomic news on Bitcoin returns (2020, positive): “While finding evidence similar to that presented by the works of Yi et al. [2018], where there is much evidence of intra-cryptocurrency volatility transmission and connectedness, there are no similarly robust findings of such substantial correlations between many of the tested cryptocurrencies and…”
- Does Sentiment Impact Cryptocurrency? (2021, background): “Our results resonate with Yi, Xu, and Wang (2018), who also established in their study the dominance of Bitcoin in the cryptocurrency market.”