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Return and volatility spillovers among cryptocurrencies

Dimitrios Koutmos

Economics Letters, 2018, vol. 173, issue C, 122-127

Abstract: This paper measures interdependencies among 18 major cryptocurrencies and shows that (i) Bitcoin is the dominant contributor of return and volatility spillovers among all the sampled cryptocurrencies; (ii) return and volatility spillovers have risen steadily over time; (iii) there are ’spikes’ in spillovers during major news events regarding cryptocurrencies. These findings suggest growing interdependence among cryptocurrencies and, by extension, a higher degree of contagion risk. It may be the case that cryptocurrencies are becoming more integrated, albeit this makes for interesting future empirical testing. In addition, the time-varying nature of spillovers reveals a certain dimension of uncertainty regarding the future of these digital currencies.

Keywords: Bitcoin; Cryptocurrencies; Spillovers; Variance decompositions; Vector autoregression (search for similar items in EconPapers)
JEL-codes: C58 G12 G17 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:ecolet:v:173:y:2018:i:c:p:122-127