Return connectedness and volatility dynamics of the cryptocurrency network

Abhishek Poddar, Arun Kumar Misra and Ajay Kumar Mishra

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: The study examines the connectedness of return and volatility spillovers among cryptocurrencies using the Volume Adjusted Return Network Index (VARNI) and the Volume Adjusted Volatility Network Index (VAVNI) developed through the Student-t Copula function and the DCC-MGARCH. The constructed indices, VARNI and VAVNI, identify return contagion and volatility spillover contagion in cryptocurrencies around Coronavirus Disease 2019 (COVID-19) and the recent Russo-Ukrainian War. The results show that VARNI and VAVNI dispersed before the COVID-19 crisis, concentrated during the COVID-19 crisis, and highly concentrated during the Russo-Ukrainian War. Moreover, the Uncertainty Index affects the volatility spillover from one cryptocurrency to another but does not affect the return connectedness.

Keywords: Cryptocurrency network; Volatility spillover; Return correlation; COVID–19; Russo-Ukrainian war (search for similar items in EconPapers)
JEL-codes: G01 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007067

DOI: 10.1016/j.frl.2023.104334

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