A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets

Nikolaos A. Kyriazis
Additional contact information
Nikolaos A. Kyriazis: Laboratory of Economic Policy and Strategic Planning, Department of Economics, University of Thessaly, 28th October 78 Street, P.C. 38333 Volos, Greece

JRFM, 2019, vol. 12, issue 4, 1-17

Abstract: This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among Bitcoin and national currencies, while economic policy uncertainty is not influential. This survey provides useful guidance in the hotly-debated issue of reform and decentralization of financial systems.

Keywords: survey; cryptocurrency; spillovers; return; volatility (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
https://www.mdpi.com/1911-8074/12/4/170/pdf (application/pdf)
https://www.mdpi.com/1911-8074/12/4/170/ (text/html)

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: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:170-:d:286273

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().