Causal relationship among cryptocurrencies: A conditional quantile approach

Myeong Jun Kim, Canh Nguyen and Sung Y. Park

Finance Research Letters, 2021, vol. 42, issue C

Abstract: This study uses a Granger non-causality test in quantiles to extend the investigation of the causality among cryptocurrencies. The empirical results reveal that (i) no quantile uncorrelated cryptocurrency is found by the Granger non-causality test in quantiles. (ii) Statistically strong bi-directional causal relationships exist only between Ripple and other cryptocurrencies over the quantile level [0.05, 0.95]. (iii) There are strong causal relationships between cryptocurrencies’ returns over high quantile levels, such as, [0.6, 0.8] and [0.8, 0.95]. (iv) The largest cryptocurrencies, that is, Bitcoin (BTC) and Ethereum (ETH), have stronger causality to smaller ones in high quantiles. The results of the non-causality test suggest a significant causal relationship in the tail quantile, which makes it hard for investors to hedge the risk in the cryptocurrency market.

Keywords: Cryptocurrency; Quantile regression; Quantile non-causality test; Robust non-causality (search for similar items in EconPapers)
JEL-codes: C22 G13 Q42 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316937

DOI: 10.1016/j.frl.2020.101879

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