High-frequency return and volatility spillovers among cryptocurrencies. Issue 37 (9th August 2021)

• Record Type: Journal Article
• Authors: Sensoy, Ahmet; Silva, Thiago Christiano; Corbet, Shaen; Tabak, Benjamin Miranda
• Is Part Of: Applied economics. Volume 53:Issue 37(2021)
• Page Start: 4310
• Page End: 4328
• Publication Date: 2021-08-09
• Subjects: Cryptocurrency -- bitcoin -- network -- spillover -- minimal spanning tree -- hierarchical clustering -- machine learning; Economics -- Periodicals; 330
• DOI: 10.1080/00036846.2021.1899119
• Languages: English
• ISSNs: 0003-6846

Abstract

ABSTRACT: We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees points out that BTC, LTC and ETH are the most relevant cryptocurrencies in general, serving as connection hubs for linking many other cryptocurrencies. However, their role is challenged lately, potentially due to the increased usage of other cryptocurrencies in time.