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Are cryptocurrencies becoming more interconnected?

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  • Aslanidis, Nektarios
  • Fernández Bariviera, Aurelio
  • Pérez Laborda, Àlex

Abstract

This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the different aspects of market linkages. Financial and regulatory implications are discussed. Keywords: Cryptocurrencies; Market Linkages; Diversification. JEL codes: C4; G01; G14

Suggested Citation

  • Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Pérez Laborda, Àlex, 2020. "Are cryptocurrencies becoming more interconnected?," Working Papers 2072/417679, Universitat Rovira i Virgili, Department of Economics.
    • Handle: RePEc:urv:wpaper:2072/417679
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    References listed on IDEAS

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    More about this item

    Keywords

    Moneda electrònica; Mercats financers; 336 - Finances. Banca. Moneda. Borsa;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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