Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

【Author】 Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, Claudiu T.; Wohar, Mark E.

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This study examines the dependence and contagion risk between Bitcoin (BTC), Litecoin (LTC) and Ripple (XRP) using non-parametric mixture copulas (developed by Zimmer, 2012) and recently proposed methods of full-range tail dependence copulas (advanced by Hua, 2017; Su and Hua, 2017), for the period from 04-08-2013 to 17-06-2018. The Chi-plots and Kendall plots results show heavy tail dependence between each pairs of the cryptocurrencies. Evidence from the mixture copula indicates that for the BTC-LTC pair the upper-tail dependence is both stronger and more prevalent, while for the other pairs of cryptocurrencies the lower-tail dependence is very strong and more prevalent. However, the results of the full-range tail dependence copulas reveal a strong and prevalent upper and lower-tail dependence of each pairs of cryptocurrencies. These results provide evidence of significant risk contagion among price returns of major cryptocurrencies, both in bull and bear markets.

【Keywords】Cryptocurrencies; Risk contagion; Tail dependence; Mixture copula; Full-range tail dependence copulas

【发表时间】2020 JAN

【收录时间】2022-01-02

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