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Are cryptocurrencies becoming more interconnected?

Author

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  • Aslanidis, Nektarios
  • Bariviera, Aurelio F.
  • Perez-Laborda, Alejandro

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.

Suggested Citation

  • Aslanidis, Nektarios & Bariviera, Aurelio F. & Perez-Laborda, Alejandro, 2021. "Are cryptocurrencies becoming more interconnected?," Economics Letters, Elsevier, vol. 199(C).
    • Handle: RePEc:eee:ecolet:v:199:y:2021:i:c:s0165176521000021
    DOI: 10.1016/j.econlet.2021.109725
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    More about this item

    Keywords

    Cryptocurrencies; Market linkages; Diversification;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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