Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

【Author】 Zhang, Lei; Bouri, Elie; Chen, Yan

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine the co-jumps of 37 cryptocurrencies based on a network model, and analyse the portfolio implications. The results reveal that, firstly, Bitcoin exerts the strongest influence. Secondly, co-jump heterogeneity exists across pairs of cryptocurrencies with different marketcapitalizations, and the impact of co-jumps is time-varying. Thirdly, the dynamic ranking of co-jump influence shows that, during the COVID-19 pandemic, Bitcoin dominates in the centrality ranking. However, smaller cryptocurrencies (Dogecoin and TRON) exhibit significant co-jump influence. Fourthly, the portfolios constructed based on the co-jump network outperform the baseline strategy by attaining higher returns while experiencing less volatility and shorter downside periods.

【Keywords】Co-jumps network; Bitcoin; Cryptocurrencies; Jump transfer; COVID-19; Portfolio implications

【发表时间】2023 DEC

【收录时间】2023-10-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析