The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages

Elie Bouri (), Brian Lucey and David Roubaud ()

Finance Research Letters, 2020, vol. 33, issue C

Abstract: There is scarce literature examining the volatility linkages among leading cryptocurrencies, and none exists on the linkages among unexpected volatility, called ‘volatility surprise’. To address this literature gap, we build on the concept of volatility surprise and examine the causal linkages among the volatility of leading cryptocurrencies via the frequency-domain test of Bodart and Candelon (2009), discriminating between transitory and permanent causalities. Permanent shocks are more important in explaining the Granger-causality that does not necessarily emanate from the largest, Bitcoin, over short horizons, whereas transitory shocks dominate the causality across smaller cryptocurrencies over long horizons.

Keywords: Bitcoin; Cryptocurrency; Volatility surprise; frequency-domain Granger-causality (search for similar items in EconPapers)
JEL-codes: C13 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319303137

DOI: 10.1016/j.frl.2019.05.006

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