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Does Bitcoin still own the dominant power? An intraday analysis

Jinghua Wang and Geoffrey M. Ngene

International Review of Financial Analysis, 2020, vol. 71, issue C

Abstract: The study investigates the intraday dynamics and price patterns of the primary cryptocurrencies. The Granger Mackey-Glass (M-G) model is employed to examine the asymmetric and nonlinear dynamic interactions in the first moment using positive and negative returns. The bivariate BEKK-GARCH model is applied to identify cross-market volatility shocks and volatility transmissions in the cryptocurrency market. The intra-cryptocurrency market analysis reveals that Bitcoin contains predictive information that can nonlinearly forecast the performance of other digital currencies when cryptocurrency prices either are rising or declining. The dominant power of Bitcoin is not dismissed using the intraday data. Further, Bitcoin's intraday lagged shocks and volatility induces more rapid and destabilizing effects on the conditional volatility of other currencies than each of the other currencies does on BTC's conditional volatility. The virtual currency markets are dynamically correlated and integrated through first and second-moment spillovers.

Keywords: Granger Mackey-Glass; BEKK-GARCH; Cryptocurrency markets; AG-DCC (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952

DOI: 10.1016/j.irfa.2020.101551

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