High-frequency return and volatility spillovers among cryptocurrencies

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spi...

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Bibliographic Details
Published in:	Applied economics Vol. 53; no. 37; pp. 4310 - 4328
Main Authors:	Sensoy, Ahmet, Silva, Thiago Christiano, Corbet, Shaen, Tabak, Benjamin Miranda
Format:	Journal Article
Language:	English
Published:	London Routledge 09-08-2021 Taylor & Francis Ltd
Subjects:	bitcoin Clustering Cryptocurrency Digital currencies Economic analysis Economic theory hierarchical clustering machine learning minimal spanning tree network spillover Trees Volatility
Online Access:	Get full text
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Summary:	We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees points out that BTC, LTC and ETH are the most relevant cryptocurrencies in general, serving as connection hubs for linking many other cryptocurrencies. However, their role is challenged lately, potentially due to the increased usage of other cryptocurrencies in time.
ISSN:	0003-6846 1466-4283
DOI:	10.1080/00036846.2021.1899119