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Jumps and Cojumps analyses of major and minor cryptocurrencies

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  • Piyachart Phiromswad
  • Pattanaporn Chatjuthamard
  • Sirimon Treepongkaruna
  • Sabin Srivannaboon

Abstract

This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

Suggested Citation

  • Piyachart Phiromswad & Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Sabin Srivannaboon, 2021. "Jumps and Cojumps analyses of major and minor cryptocurrencies," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-9, February.
    • Handle: RePEc:plo:pone00:0245744
    DOI: 10.1371/journal.pone.0245744
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    References listed on IDEAS

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    Cited by:

    1. 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).

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