Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
【Author】 Caferra, Rocco; Morone, Andrea; Poti, Valerio
【Source】ECONOMICS LETTERS
【影响因子】1.469
【Abstract】This study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional cryptofocused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak. (C) 2022 Published by Elsevier B.V.
【Keywords】Cryptocurrencies; Network analysis; Quantile regression
【发表时间】2022 SEP
【收录时间】2022-11-01
【文献类型】实证数据
【主题类别】
区块链治理-市场治理-数字货币
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