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
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