Economics at your fingertips  

Shock transmission in the cryptocurrency market. Is Bitcoin the most influential?

Damian Zięba, Ryszard Kokoszczyński and Katarzyna Śledziewska ()

International Review of Financial Analysis, 2019, vol. 64, issue C, 102-125

Abstract: The growing cryptocurrency market has attracted the attention from many investors worldwide, mainly due to the ease of entering the market and its extremely volatile character. The main aim of this paper is to examine interdependencies between log-returns of cryptocurrencies, with the special focus on Bitcoin. Based on implications from the literature, we use methods dedicated for studying the stock market and apply the two-step analysis, comparing results between two subsequent periods. Results obtained using Minimum Spanning Tree (MST) method show that cryptocurrencies form hierarchical clusters, consistently over two separate periods, indicating potential topological properties of the cryptocurrency market. Then, using Vector Autoregression (VAR) model, we study the transmission of demand shocks within clusters. Results show that changes in Bitcoin price do not affect and are not affected by changes in prices of other cryptocurrencies. However, results indicate that findings obtained for Bitcoin shall not be generalized to the entire cryptocurrency market.

Keywords: Cryptocurrency; Bitcoin; Minimum Spanning Tree; Vector Autoregression; Shock transmission (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.irfa.2019.04.009

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2021-01-13
Handle: RePEc:eee:finana:v:64:y:2019:i:c:p:102-125