Volatility in the Cryptocurrency Market

Open Economies Review (Forthcoming)

41 Pages Posted: 22 Jul 2019

See all articles by Jinan Liu

Jinan Liu

University of Calgary - Department of Economics

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: July 19, 2019

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

JEL Classification: C32, G15, G32

Suggested Citation

Liu, Jinan and Serletis, Apostolos, Volatility in the Cryptocurrency Market (July 19, 2019). Open Economies Review (Forthcoming). Available at SSRN: https://ssrn.com/abstract=3422940

Jinan Liu

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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