Are Cryptocurrencies Affected by Their Asset Class Movements or News Announcements?

Ikhlaas Gurrib (), Qian Long Kweh (), Mohammad Nourani and Irene Wei Kiong Ting ()
Additional contact information
Ikhlaas Gurrib: Faculty of Management, Canadian University Dubai
Qian Long Kweh: Faculty of Management, Canadian University Dubai
Irene Wei Kiong Ting: Faculty of Industrial Management, Universiti Malaysia Pahang

Malaysian Journal of Economic Studies, 2019, vol. 56, issue 2, 201-225

Abstract: This study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017–December 2018. This study, (i) tests whether lagged variables can help predict other variables’ returns through a vector autoregression (VAR) model, (ii) analyses the response of cryptocurrencies to one standard deviation shock on Bitcoin’s returns, and (iii) decomposes factors that contribute to variance and tests for structural breaks. Findings show that most cryptocurrencies do not significantly affect other variances, except for Monero, which represented between 19% and 45% of the variances of five cryptocurrencies. Autoregressive (AR) models are superior in forecasting one day ahead return forecasts, compared to the VAR model, whereas the random walk (RW) model ranked last. Although remarkable structural breaks are observed via impulse response functions during December 2017–January 2018, no major news announcements were released on the same day the breaks occurred. Overall, this study suggests the need for high-frequency cryptocurrency prices to tackle the issue of the relationship between intraday news release and cryptocurrencies.

Keywords: cryptocurrency; news announcements; VAR; impulse response; structural break (search for similar items in EconPapers)
JEL-codes: G15 G17 G19 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:mjr:journl:v:56:y:2019:i:2:p:201-225

DOI: 10.22452/MJES.vol56no2.2

Access Statistics for this article

Malaysian Journal of Economic Studies is currently edited by Lim Kian Ping

More articles in Malaysian Journal of Economic Studies from Faculty of Business and Economics, University of Malaya & Malaysian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Malaysian Economic Association ().