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Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

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  • Zhang, Lei
  • Bouri, Elie
  • Chen, Yan

Abstract

We examine the co-jumps of 37 cryptocurrencies based on a network model, and analyse the portfolio implications. The results reveal that, firstly, Bitcoin exerts the strongest influence. Secondly, co-jump heterogeneity exists across pairs of cryptocurrencies with different market-capitalizations, and the impact of co-jumps is time-varying. Thirdly, the dynamic ranking of co-jump influence shows that, during the COVID-19 pandemic, Bitcoin dominates in the centrality ranking. However, smaller cryptocurrencies (Dogecoin and TRON) exhibit significant co-jump influence. Fourthly, the portfolios constructed based on the co-jump network outperform the baseline strategy by attaining higher returns while experiencing less volatility and shorter downside periods.

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  • Zhang, Lei & Bouri, Elie & Chen, Yan, 2023. "Co-jump dynamicity in the cryptocurrency market: A network modelling perspective," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007444
    DOI: 10.1016/j.frl.2023.104372
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    Cited by:

    1. Vassilios Babalos & Elie Bouri & Rangan Gupta, 2024. "Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?," Working Papers 202416, University of Pretoria, Department of Economics.
    2. Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta, 2024. "Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis," Working Papers 202432, University of Pretoria, Department of Economics.
    3. Okorie, David Iheke & Bouri, Elie & Mazur, Mieszko, 2024. "NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 126-151.
    4. Chen, Yan & Zhang, Lei & Bouri, Elie, 2024. "Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis," Journal of International Money and Finance, Elsevier, vol. 145(C).
    5. Chen, Yan & Zhang, Lei & Bouri, Elie, 2024. "Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500," Research in International Business and Finance, Elsevier, vol. 69(C).
    6. Zhang, Lei & Chen, Yan & Bouri, Elie, 2024. "Time-varying jump intensity and volatility forecasting of crude oil returns," Energy Economics, Elsevier, vol. 129(C).

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