Volatility in the Cryptocurrency Market

Jinan Liu and Apostolos Serletis
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Jinan Liu: University of Calgary

Open Economies Review, 2019, vol. 30, issue 4, No 8, 779-811

Abstract: Abstract How do cryptocurrency prices evolve? Is there any interdependence among cryptocurrency 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, the United Kingdom, and Japan).

Keywords: Cryptocurrency; Financial markets; Spillover effects; GARCH-in-mean model; Asymmetric BEKK model; Volatility transmission (search for similar items in EconPapers)
JEL-codes: C32 G15 G32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:30:y:2019:i:4:d:10.1007_s11079-019-09547-5

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DOI: 10.1007/s11079-019-09547-5

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