CONVERGENCE PATTERNS IN CRYPTOCURRENCY MARKETS: EVIDENCE FROM CLUB CONVERGENCE

Pradipta Kumar Sahoo
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Pradipta Kumar Sahoo: Department of Liberal Arts, Indian Institute of Technology Hyderabad, Kandi, Sangareddy, Telangana 502285, India2Faculty of Business and Law, Swinburne University of Technology, Hawthorn, Melbourne 3122, Australia

Global Economy Journal (GEJ), 2020, vol. 20, issue 04, 1-10

Abstract: This paper empirically examines the convergence of cryptocurrency markets with particular attention to top 30 cryptocurrencies. The study applies the novel Phillips and Sul panel convergence technique to daily closing price data of 30 cryptocurrencies for the period October 4, 2017 to May 31, 2020. The empirical findings suggest the evidence of divergence and the existence of club convergence across the cryptocurrency markets. The study finds the existence of five clubs in the top 30 cryptocurrency markets. The outcome of the study helps the investors and crypto lovers to diversify their portfolio by seeing the common transition path of the group of currencies.

Keywords: Club convergence; cryptocurrencies (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S2194565920500220

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