Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas

Luu Duc Huynh, T. Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas. J. Risk Financial Manag. 2019, 12, 52.

19 Pages Posted: 15 May 2019

See all articles by Toan Luu Duc Huynh

Toan Luu Duc Huynh

Ho Chi Minh City University of Economics and Finance; WHU - Otto Beisheim School of Management

Date Written: April 1, 2019

Abstract

This paper contributes a shred of quantitative evidence to the embryonic literature as well as existing empirical evidence regarding spillover risks among cryptocurrency markets. By using VAR (Vector Autoregressive Model)-SVAR (Structural Vector Autoregressive Model) Granger causality and Student’s-t Copulas, we find that Ethereum is likely to be the independent coin in this market, while Bitcoin tends to be the spillover effect recipient. Our study sheds further light on investigating the contagion risks among cryptocurrencies by employing Student’s-t Copulas for joint distribution. This result suggests that all coins negatively change in terms of extreme value. The investors are advised to pay more attention to ‘bad news’ and moving patterns in order to make timely decisions on three types (buy, hold, and sell).

Keywords: Bitcoin; Cryptocurrency; Spillover Risks; Copulas; Student’s-T

JEL Classification: C46, F38, G01

Suggested Citation

Huynh, Toan Luu Duc, Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas (April 1, 2019). Luu Duc Huynh, T. Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas. J. Risk Financial Manag. 2019, 12, 52., Available at SSRN: https://ssrn.com/abstract=3372849

Toan Luu Duc Huynh (Contact Author)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

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