Comovement in the Cryptocurrency Market

被引：0
|
作者：
Blau, Benjamin [1 ]
Griffith, Todd [1 ]
Whitby, Ryan [1 ]
机构：
[1] Utah State Univ, Logan, UT 84322 USA
来源：
ECONOMICS BULLETIN | 2020年 / 40卷 / 01期
关键词：
EXCESS COMOVEMENT; STOCK RETURNS; INFORMATION;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study examines the comovement between 17 of the most active cryptocurrencies. We are unable to statistically reject the presence of perfect comovement between Bitcoin and six of the 16 non-Bitcoin cryptocurrencies. Consistent with the friction-based explanation for the presence of comovement, once the CBOE introduced futures contracts on Bitcoin, we find that all 16 cryptocurrencies comove with Bitcoin. These results suggest that introducing futures contracts improves the informational environment of the entire cryptocurrency market, which helps explain the unusual comovement in the cryptocurrency market.
引用
收藏
页码：448 / +
页数：9
相关论文
共 50 条
  • [1] Comovement and instability in cryptocurrency markets
    De Pace, Pierangelo
    Rao, Jayant
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 83 : 173 - 200
  • [2] Illiquidity Comovement and Market Crisis
    Zeng, Qingduo
    Zhang, Qiang
    Liu, Shancun
    Yang, Yaodong
    [J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2022, 35 (05) : 1863 - 1874
  • [3] Illiquidity Comovement and Market Crisis
    ZENG Qingduo
    ZHANG Qiang
    LIU Shancun
    YANG Yaodong
    [J]. Journal of Systems Science & Complexity, 2022, 35 (05) : 1863 - 1874
  • [4] Illiquidity Comovement and Market Crisis
    Qingduo Zeng
    Qiang Zhang
    Shancun Liu
    Yaodong Yang
    [J]. Journal of Systems Science and Complexity, 2022, 35 : 1863 - 1874
  • [5] Volatility in the Cryptocurrency Market
    Jinan Liu
    Apostolos Serletis
    [J]. Open Economies Review, 2019, 30 : 779 - 811
  • [6] INTERNATIONAL STOCK MARKET COMOVEMENT AND NEWS
    Hoechstoetter, Markus
    Meyer, Stephan
    Riordan, Ryan
    Storkenmaier, Andreas
    [J]. JOURNAL OF FINANCIAL RESEARCH, 2014, 37 (04) : 519 - 542
  • [7] Volatility in the Cryptocurrency Market
    Liu, Jinan
    Serletis, Apostolos
    [J]. OPEN ECONOMIES REVIEW, 2019, 30 (04) : 779 - 811
  • [8] Persistence in the cryptocurrency market
    Caporale, Guglielmo Maria
    Gil-Alana, Luis
    Plastun, Alex
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2018, 46 : 141 - 148
  • [9] CRYPTOCURRENCY MARKET AS A SYSTEM
    Soslovskyi, V. G.
    Kosovskyi, I. O.
    [J]. FINANCIAL AND CREDIT ACTIVITY-PROBLEMS OF THEORY AND PRACTICE, 2016, 2 (21): : 236 - 246
  • [10] Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
    Yi, Shuyue
    Xu, Zishuang
    Wang, Gang-Jin
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2018, 60 : 98 - 114
12345