Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour

Rocco Caferra, Andrea Morone and Valerio Potì

Economics Letters, 2022, vol. 218, issue C

Abstract: This study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional crypto-focused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak.

Keywords: Cryptocurrencies; Network analysis; Quantile regression (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:218:y:2022:i:c:s0165176522002555

DOI: 10.1016/j.econlet.2022.110734

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