Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model

Yongjing Shi, Aviral Tiwari, Giray Gözgör and Zhou Lu

Research in International Business and Finance, 2020, vol. 53, issue C

Abstract: This paper is the first study to apply the multivariate factor stochastic volatility model (MFSVM) for analyzing the correlations among six cryptocurrencies. We use MFSVM with the Bayesian estimation procedure for the period from August 8, 2015, to January 1, 2020. According to the findings, there is a significant positive correlation between price volatility values of Bitcoin and Litecoin. Besides, the volatility values of Ethereum have a positive correlation with both Ripple and Stellar. There is also a positive correlation between the volatility values of Ripple and Dash. These findings are robust to consider different correlation networks. The evidence implies that Bitcoin is mainly related to Litecoin, but Ethereum is associated with other cryptocurrencies.

Keywords: Price volatility of cryptocurrencies; Bitcoin; Ethereum; Factor stochastic volatility model; Bayesian estimations; Multivariate time-varying approach (search for similar items in EconPapers)
JEL-codes: C11 C38 C58 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919311419

DOI: 10.1016/j.ribaf.2020.101231

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