Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

Lei Zhang, Elie Bouri and Yan Chen

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: We examine the co-jumps of 37 cryptocurrencies based on a network model, and analyse the portfolio implications. The results reveal that, firstly, Bitcoin exerts the strongest influence. Secondly, co-jump heterogeneity exists across pairs of cryptocurrencies with different market-capitalizations, and the impact of co-jumps is time-varying. Thirdly, the dynamic ranking of co-jump influence shows that, during the COVID-19 pandemic, Bitcoin dominates in the centrality ranking. However, smaller cryptocurrencies (Dogecoin and TRON) exhibit significant co-jump influence. Fourthly, the portfolios constructed based on the co-jump network outperform the baseline strategy by attaining higher returns while experiencing less volatility and shorter downside periods.

Keywords: Co-jumps network; Bitcoin; Cryptocurrencies; Jump transfer; COVID-19; Portfolio implications (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444

DOI: 10.1016/j.frl.2023.104372

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