Return connectedness and volatility dynamics of the cryptocurrency network

【Author】 Poddar, Abhishek; Misra, Arun Kumar; Mishra, Ajay Kumar

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The study examines the connectedness of return and volatility spillovers among cryptocurrencies using the Volume Adjusted Return Network Index (VARNI) and the Volume Adjusted Volatility Network Index (VAVNI) developed through the Student-t Copula function and the DCC-MGARCH. The constructed indices, VARNI and VAVNI, identify return contagion and volatility spillover contagion in cryptocurrencies around Coronavirus Disease 2019 (COVID-19) and the recent Russo-Ukrainian War. The results show that VARNI and VAVNI dispersed before the COVID-19 crisis, concentrated during the COVID-19 crisis, and highly concentrated during the RussoUkrainian War. Moreover, the Uncertainty Index affects the volatility spillover from one cryptocurrency to another but does not affect the return connectedness.

【Keywords】Cryptocurrency network; Volatility spillover; Return correlation; COVID-19; Russo-Ukrainian war

【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