EconPapers    
Economics at your fingertips  
 

Volatility in the Cryptocurrency Market

Apostolos Serletis () and Jinan Liu
Additional contact information
Jinan Liu: University of Calgary

No 2019-09, Working Papers from Department of Economics, University of Calgary

Abstract: How do cryptocurrency prices evolve? Is there any interdependence among cryptocur- rency returns and/or volatilities? Are there any return spillovers and volatility spillovers between the cryptocurrency market and other financial markets? To answer these questions,we use GARCH-in-mean models to examine the relationship between volatility and returns of leading cryptocurrencies, to investigate spillovers within the cryptocurrency market, and also from the cryptocurrency market to other financial markets. Overall, we find statistically significant transmission of shocks and volatilities among the leading cryptocurrencies. We also find statistically significant spillover effects from the cryptocurrency market to other financial markets in the United States, as well as in other leading economies (Germany, theUnited Kingdom, and Japan).

New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-pay
Date: 2019-07-19
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://econ.ucalgary.ca/sites/econ.ucalgary.ca.ma ... Liu_and_Serletis.pdf (application/pdf)

Related works:
Journal Article: Volatility in the Cryptocurrency Market (2019) Downloads
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:clg:wpaper:2019-09

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Calgary Contact information at EDIRC.
Bibliographic data for series maintained by Department of Economics ().

 
Page updated 2019-11-14
Handle: RePEc:clg:wpaper:2019-09