Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets

37 Pages Posted: 16 Nov 2017  

Shaen Corbet

Dublin City University Business School

Andrew Meegan

Dublin City University Business School

Charles James Larkin

Trinity College Dublin

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School

Larisa Yarovaya

Anglia Ruskin University - Lord Ashcroft International Business School

Date Written: November 13, 2017

Abstract

We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.

Keywords: cryptocurrencies, bitcoin, litecoin, time varying, GARCH, spillovers

JEL Classification: G12

Suggested Citation

Corbet, Shaen and Meegan, Andrew and Larkin, Charles James and Lucey, Brian M. and Yarovaya, Larisa, Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (November 13, 2017). Available at SSRN: https://ssrn.com/abstract=3070288 or http://dx.doi.org/10.2139/ssrn.3070288

Shaen Corbet

Dublin City University Business School ( email )

Dublin 9
Ireland

Andrew Meegan

Dublin City University Business School ( email )

Dublin 9
Ireland

Charles James Larkin

Trinity College Dublin ( email )

AAP College Green
Dublin 2
Ireland

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Larisa Yarovaya

Anglia Ruskin University - Lord Ashcroft International Business School ( email )

Cambridge
United Kingdom

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