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Volatility in the Cryptocurrency Market

Open Economies Review volume 30, pages 779–811 (2019)Cite this article

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).

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Authors and Affiliations

  1. Department of Economics, University of Calgary, Calgary, AB, Canada

    Jinan Liu & Apostolos Serletis

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  1. Jinan Liu
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  2. Apostolos Serletis
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Correspondence to Apostolos Serletis.

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Liu, J., Serletis, A. Volatility in the Cryptocurrency Market. Open Econ Rev 30, 779–811 (2019). https://doi.org/10.1007/s11079-019-09547-5

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  • DOI: https://doi.org/10.1007/s11079-019-09547-5

Keywords

  • Cryptocurrency
  • Financial markets
  • Spillover effects
  • GARCH-in-mean model
  • Asymmetric BEKK model
  • Volatility transmission

JEL Classification

  • C32
  • G15
  • G32