Higher moment connectedness in cryptocurrency market

【Author】 Hasan, Mudassar; Naeem, Muhammad Abubakr; Arif, Muhammad; Yarovaya, Larisa

【Source】JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE

【影响因子】8.222

【Abstract】Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market. (C) 2021 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; High-frequency connectedness; Higher-moments; Spillovers

【发表时间】2021 DEC

【收录时间】2022-01-01

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