High Frequency Price Change Spillovers in Bitcoin Markets

Paolo Giudici and Paolo Pagnottoni
Additional contact information
Paolo Pagnottoni: Department of Economics and Management, University of Pavia, Via S. Felice 5, 27100 Pavia (PV), Italy

Risks, 2019, vol. 7, issue 4, 1-18

Abstract: The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange platforms during two periods of main interest: the 2017 surge in prices and the 2018 decline. We concluded that Bitfinex and Gemini are leading exchanges in terms of return spillover transmission during the analyzed time-frame, while Bittrexs act as a follower. We also found that connectedness of overall returns fell substantially right before the Bitcoin price hype, whereas it leveled out during the period the down market period. We confirmed that the results are robust with regards to the modeling strategies.

Keywords: Bitcoin; market risk; market linkages; vector error correction; forecast error variance decomposition; spillovers (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (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/2227-9091/7/4/111/pdf (application/pdf)
https://www.mdpi.com/2227-9091/7/4/111/ (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:jrisks:v:7:y:2019:i:4:p:111-:d:282751

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

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