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Return connectedness and volatility dynamics of the cryptocurrency network

Author

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  • Poddar, Abhishek
  • Misra, Arun Kumar
  • Mishra, Ajay Kumar

Abstract

The study examines the connectedness of return and volatility spillovers among cryptocurrencies using the Volume Adjusted Return Network Index (VARNI) and the Volume Adjusted Volatility Network Index (VAVNI) developed through the Student-t Copula function and the DCC-MGARCH. The constructed indices, VARNI and VAVNI, identify return contagion and volatility spillover contagion in cryptocurrencies around Coronavirus Disease 2019 (COVID-19) and the recent Russo-Ukrainian War. The results show that VARNI and VAVNI dispersed before the COVID-19 crisis, concentrated during the COVID-19 crisis, and highly concentrated during the Russo-Ukrainian War. Moreover, the Uncertainty Index affects the volatility spillover from one cryptocurrency to another but does not affect the return connectedness.

Suggested Citation

  • Poddar, Abhishek & Misra, Arun Kumar & Mishra, Ajay Kumar, 2023. "Return connectedness and volatility dynamics of the cryptocurrency network," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007067
    DOI: 10.1016/j.frl.2023.104334
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrency network; Volatility spillover; Return correlation; COVID–19; Russo-Ukrainian war;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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