Are Cryptocurrencies Becoming More Interconnected?
15 Pages Posted: 17 Nov 2020
Date Written: September 30, 2020
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: Suggested Citation