Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets

【Author】 Bekiros, Stelios; Hedstrom, Axel; Jayasekera, Evgeniia; Mishra, Tapas; Uddin, Gazi Salah

【Source】COMPUTATIONAL ECONOMICS

【影响因子】1.741

【Abstract】This paper is the first tofullycharacterize the relationship among cross-market Bitcoin prices to provide a complete picture ofdirectional predictabilityof Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.

【Keywords】Cross-quantilogram; Cross-market Bitcoin prices; Time-varying stability

【发表时间】2020 DEC

【收录时间】2022-01-02

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