nep-ifn 2019-07-29 papers

on International Finance

Issue of 2019‒07‒29
one paper chosen by
Vimal Balasubramaniam
University of Oxford

Volatility in the Cryptocurrency Market By Apostolos Serletis; Jinan Liu

By:	Apostolos Serletis (University of Calgary); Jinan Liu (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).
Date:	2019–07–19
URL:	http://d.repec.org/n?u=RePEc:clg:wpaper:2019-09&r=all

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