| Autor: |
Elie Bouri, Mahdi Ghaemi Asl, Sahar Darehshiri, David Gabauer |
| Jazyk: |
angličtina |
| Rok vydání: |
2024 |
| Předmět: |
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| Zdroj: |
Financial Innovation, Vol 10, Iss 1, Pp 1-26 (2024) |
| Druh dokumentu: |
article |
| ISSN: |
2199-4730 |
| DOI: |
10.1186/s40854-024-00636-0 |
| Popis: |
Abstract This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach combined with a high frequency (hourly) dataset ranging from 1st June 2018 to 22nd July 2022, we find that (i) good and bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate Islamic cryptocurrencies. Specifically, Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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