Causal relationship among cryptocurrencies: A conditional quantile approach

【Author】 Kim, Myeong Jun; Nguyen Phuc Canh; Park, Sung Y.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study uses a Granger non-causality test in quantiles to extend the investigation of the causality among cryptocurrencies. The empirical results reveal that (i) no quantile uncorrelated cryptocurrency is found by the Granger non-causality test in quantiles. (ii) Statistically strong bidirectional causal relationships exist only between Ripple and other cryptocurrencies over the quantile level [0.05, 0.95]. (iii) There are strong causal relationships between cryptocurrencies' returns over high quantile levels, such as, [0.6, 0.8] and [0.8, 0.95]. (iv) The largest cryptocurrencies, that is, Bitcoin (BTC) and Ethereum (ETH), have stronger causality to smaller ones in high quantiles. The results of the non-causality test suggest a significant causal relationship in the tail quantile, which makes it hard for investors to hedge the risk in the cryptocurrency market.

【Keywords】Cryptocurrency; Quantile regression; Quantile non-causality test; Robust non-causality

【发表时间】2021 OCT

【收录时间】2022-01-01

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