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Quantifying the spillover effect in the cryptocurrency market

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  • Moratis, George

Abstract

The study quantifies the spillover effects in the cryptocurrency market using a rolling-window Bayesian Vector Autoregressive Model. The present study offers a better understanding of the interconnectedness and the shock transmission in the cryptocurrency market, as it quantifies spillover risk at the pairwise directional level, offering a dynamic understanding of the shock fluctuation within the market which in turn uncovers periods of risk integration. In addition, the study investigates the determinants of the spillover shocks in the cryptocurrency market, revealing the increasing connections to external drivers over time.

Suggested Citation

  • Moratis, George, 2021. "Quantifying the spillover effect in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319304787
    DOI: 10.1016/j.frl.2020.101534
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    More about this item

    Keywords

    Cryptocurrencies; Bitcoin; Spillover Risk; Connectedness; Bayesian VAR;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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