How are Bitcoin forks related to Bitcoin?

【Author】 Bazan-Palomino, Walter

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper studies the interlinkages among Bitcoin and seven Bitcoin forks, which share proof-ofwork. To this end, I propose two volatility indexes and one correlation index based on the estimation of three multivariate GARCH models. This study finds that the contribution of the Bitcoinfork volatility to the market volatility is stronger in the first two months after the occurrence of a fork, and low thereafter. Furthermore, the correlation of Bitcoin with four Bitcoin forks is negative or low during high-volatility times and highly positive during low-volatility times. The other three Bitcoin forks do not show this correlation pattern.

【Keywords】Multivariate volatility models; Bitcoin; Bitcoin forks; Volatility indexes; Time-varying correlation index

【发表时间】2021 MAY

【收录时间】2022-01-02

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