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Volatility in the Cryptocurrency Market

Author

Listed:
  • Jinan Liu

    (University of Calgary)

  • Apostolos Serletis

    (University of Calgary)

Abstract

How do cryptocurrency prices evolve? Is there any interdependence among cryptocurrency returns and/or volatilities? Are there any return spillovers and volatility spillovers between the cryptocurrency market and other financial markets? To answer these questions, we use GARCH-in-mean models to examine the relationship between volatility and returns of leading cryptocurrencies, to investigate spillovers within the cryptocurrency market, and also from the cryptocurrency market to other financial markets. Overall, we find statistically significant transmission of shocks and volatilities among the leading cryptocurrencies. We also find statistically significant spillover effects from the cryptocurrency market to other financial markets in the United States, as well as in other leading economies (Germany, the United Kingdom, and Japan).

Suggested Citation

  • Jinan Liu & Apostolos Serletis, 2019. "Volatility in the Cryptocurrency Market," Open Economies Review, Springer, vol. 30(4), pages 779-811, September.
    • Handle: RePEc:kap:openec:v:30:y:2019:i:4:d:10.1007_s11079-019-09547-5
    DOI: 10.1007/s11079-019-09547-5
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    More about this item

    Keywords

    Cryptocurrency; Financial markets; Spillover effects; GARCH-in-mean model; Asymmetric BEKK model; Volatility transmission;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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