Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach

Imran Yousaf, Linh Pham and John W. Goodell

International Review of Financial Analysis, 2024, vol. 94, issue C

Abstract: We investigate spillovers between leading cryptocurrencies and derivative tokens, a new asset class that facilitates derivative trading on blockchain platforms. Using data on the closing prices of two major cryptocurrencies (Bitcoin and Ethereum) and the 10 largest derivative tokens from December 2020 to February 2023, we find significant spillovers across the markets across all the quantiles, especially at the extreme quantiles or during stressed periods. Moreover, derivative tokens are more influenced by Ethereum than Bitcoin movements, with the behavior of derivative tokens varies across tokens. Results offer implications for investors and policymakers.

Keywords: Cryptocurrencies; Derivatives tokens; Spillovers; Portfolio management (search for similar items in EconPapers)
JEL-codes: C58 F36 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521924000887
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887

DOI: 10.1016/j.irfa.2024.103156

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().