How are Bitcoin forks related to Bitcoin?

Walter Bazán-Palomino

Finance Research Letters, 2021, vol. 40, issue C

Abstract: This paper studies the interlinkages among Bitcoin and seven Bitcoin forks, which share proof-of-work. To this end, I propose two volatility indexes and one correlation index based on the estimation of three multivariate GARCH models. This study finds that the contribution of the Bitcoin-fork volatility to the market volatility is stronger in the first two months after the occurrence of a fork, and low thereafter. Furthermore, the correlation of Bitcoin with four Bitcoin forks is negative or low during high-volatility times and highly positive during low-volatility times. The other three Bitcoin forks do not show this correlation pattern.

Keywords: Multivariate volatility models; Bitcoin; Bitcoin forks; Volatility indexes; Time-varying correlation index (search for similar items in EconPapers)
JEL-codes: C3 C5 G1 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320307522

DOI: 10.1016/j.frl.2020.101723

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