Jumps and Cojumps analyses of major and minor cryptocurrencies

Piyachart Phiromswad, Pattanaporn Chatjuthamard, Sirimon Treepongkaruna and Sabin Srivannaboon

PLOS ONE, 2021, vol. 16, issue 2, 1-9

Abstract: This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0245744

DOI: 10.1371/journal.pone.0245744

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