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Do Bitcoin and other cryptocurrencies jump together?

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  • Bouri, Elie
  • Roubaud, David
  • Shahzad, Syed Jawad Hussain

Abstract

We detect the presence of jumps in the return series of 12 cryptocurrencies and find significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also examine whether cryptocurrencies’ returns jump together and the results of various analyses show evidence of co-jumping behaviour, except for a few cases (Ripple and Bytecoin). These results suggest that the presence of jumps in one cryptocurrency increases the probability of inducing a jump in other cryptocurrencies. However, co-jumping is joint with a jumping activity in trading volume. This later result highlights the importance of jumps in trading volume to the formation of jumps in cryptocurrencies, confirming earlier findings on the importance of trading volume to the volatility of cryptocurrencies.

Suggested Citation

  • Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2020. "Do Bitcoin and other cryptocurrencies jump together?," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 396-409.
    • Handle: RePEc:eee:quaeco:v:76:y:2020:i:c:p:396-409
    DOI: 10.1016/j.qref.2019.09.003
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    More about this item

    Keywords

    Jumps; Co-Jumps; Volatility; Trading volume; Bitcoin; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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