Return equicorrelation in the cryptocurrency market: Analysis and determinants

Elie Bouri (), Xuan Vinh Vo and Tareq Saeed

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We examine market integration among 12 leading cryptocurrencies from August 8, 2015 to February 28, 2019. Using the dynamic equicorrelation (DECO) model, we report evidence that the average return equicorrelation is very time-varying. After experiencing large instability in 2016-2017, it increased from late 2017 till early 2019 and remained at relatively high levels. This finding points to a heightened integration in the cryptocurrency market, despite the sharp price correction in the cryptocurrency market during 2018, suggesting that market integration is a continuing and persistent phenomenon. Further examination shows that trading volume and measures of uncertainties are main determinants of integration.

Keywords: Cryptocurrency; Bitcoin; Return equicorrelation; DECO; Market integration; determinants (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320300891

DOI: 10.1016/j.frl.2020.101497

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