Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets

Stelios Bekiros, Axel Hedström (), Evgeniia Jayasekera (), Tapas Mishra and Gazi Uddin
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Axel Hedström: Linköping University
Evgeniia Jayasekera: National College of Ireland

Computational Economics, 2021, vol. 58, issue 4, No 14, 1289-1299

Abstract: Abstract This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.

Keywords: Cross-quantilogram; Cross-market Bitcoin prices; Time-varying stability (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10614-020-10058-6

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