Volatility in the Cryptocurrency Market
Apostolos Serletis () and
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Jinan Liu: University of Calgary
No 2019-09, Working Papers from Department of Economics, University of Calgary
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).
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Journal Article: Volatility in the Cryptocurrency Market (2019)
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