Extreme tail network analysis of cryptocurrencies and trading strategies

【Author】 Shahzad, Syed Jawad Hussain; Bouri, Elie; Ahmad, Tanveer; Naeem, Muhammad Abubakr

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the median- and tail-based return interdependence among cryptocurrencies under both normal and extreme market conditions. Using daily data and combining the LASSO technique with quantile regression within a framework of network analysis, the main results show the following: Interdependence is higher at tails than at medians, especially the right tail. Bitcoin is not the leading risk transmitter or receiver, but this role is taken by smaller cryptocurrencies. The volatilities of market, size, and momentum drive return connectedness and clustering coefficients under both normal and extreme market conditions. Finally, profitable trading strategies are constructed and evaluated.

【Keywords】Bitcoin; Cryptocurrencies; Tail network of spillovers; Quantile; LASSO; Trading strategies

【发表时间】2022 JAN

【收录时间】2022-01-18

【文献类型】期刊

【主题类别】

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