Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model

Canh Nguyen, Udomsak Wongchoti, Thanh Su and Nguyen Trung Thong

Finance Research Letters, 2019, vol. 29, issue C, 90-100

Abstract: This study provides a formal analysis on the structural breaks and volatility spillovers in seven largest cryptocurrencies including Bitcoin, Litecoin, Ripple, Stellar, Monero, Dash, and Bytecoin. Cumulative sum test for parameter stability, Granger Causality test, LM test for ARCH and Dynamic conditional correlation MGARCH model indicate that: (1) the structural breaks are universally present in these popular cryptocurrencies; and (2) the shifts spread from smaller cryptocurrencies (in market capitalization) to larger ones. Notably, volatility spillovers also exist with strong positive correlations among cryptocurrencies. Our findings highlight the limit of diversification benefits within the cryptocurrency market itself.

Keywords: Structural break; Cryptocurrencies; Spillovers; Volatility; Systematic risk; DCC-MGARCH (search for similar items in EconPapers)
JEL-codes: G12 G15 G23 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:90-100

DOI: 10.1016/j.frl.2019.03.011

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