Are Cryptocurrencies Becoming More Interconnected?

15 Pages Posted: 17 Nov 2020

See all articles by Nektarios Aslanidis

Nektarios Aslanidis

Universitat Rovira Virgili

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Alejandro Perez-Laborda

Universitat Rovira-i-Virgili

Date Written: September 30, 2020

Abstract

This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the different aspects of market linkages. Financial and regulatory implications are discussed.

Keywords: Cryptocurrencies, Market Linkages, Diversification

JEL Classification: C4, G01, G14

Suggested Citation

Aslanidis, Nektarios and Bariviera, Aurelio F. and Perez-Laborda, Alejandro, Are Cryptocurrencies Becoming More Interconnected? (September 30, 2020). Available at SSRN: https://ssrn.com/abstract=3702278 or http://dx.doi.org/10.2139/ssrn.3702278

Nektarios Aslanidis (Contact Author)

Universitat Rovira Virgili ( email )

Tarragona
Spain

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

Alejandro Perez-Laborda

Universitat Rovira-i-Virgili ( email )

Tarragona, Tarragona
Spain

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