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Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach

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  • Yousaf, Imran
  • Pham, Linh
  • Goodell, John W.

Abstract

We investigate spillovers between leading cryptocurrencies and derivative tokens, a new asset class that facilitates derivative trading on blockchain platforms. Using data on the closing prices of two major cryptocurrencies (Bitcoin and Ethereum) and the 10 largest derivative tokens from December 2020 to February 2023, we find significant spillovers across the markets across all the quantiles, especially at the extreme quantiles or during stressed periods. Moreover, derivative tokens are more influenced by Ethereum than Bitcoin movements, with the behavior of derivative tokens varies across tokens. Results offer implications for investors and policymakers.

Suggested Citation

  • Yousaf, Imran & Pham, Linh & Goodell, John W., 2024. "Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887
    DOI: 10.1016/j.irfa.2024.103156
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    More about this item

    Keywords

    Cryptocurrencies; Derivatives tokens; Spillovers; Portfolio management;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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