Cryptocurrency spillovers and correlations: inefficiency and co-movement

Dirk G. Baur () and Lai T. Hoang
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Dirk G. Baur: The University of Western Australia
Lai T. Hoang: The University of Western Australia

Digital Finance, 2024, vol. 6, issue 2, No 1, 203-224

Abstract: Abstract This paper uses a novel econometric framework to dissect connectedness into spillovers and correlations. The results based on a sample of the largest cryptocurrencies show that spillovers play a small role relative to correlations. This finding implies that the crypto market is highly efficient as information is processed quickly and minimal lagged giving and receiving of information occurs. Tether stands out for its relatively high auto-spillovers emphasizing its special role as a stablecoin. We also find increased correlations during the COVID-19 outbreak consistent with financial contagion but no significant increase in spillovers. Graphical Abstract

Keywords: Cryptocurrencies; Bitcoin; Spillovers; Connectedness (search for similar items in EconPapers)
JEL-codes: C32 C58 G11 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s42521-023-00099-5

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