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Exploring the dynamic relationships between cryptocurrencies and other financial assets

Exploring the dynamic relationships between cryptocurrencies and other financial assets
Exploring the dynamic relationships between cryptocurrencies and other financial assets
We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.
Cryptocurrencies, Bitcoin, Litecoin, Time varying, spillovers
0165-1765
28-34
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Meegan, Andrew
1769c57f-7511-4d6d-8858-2e741fcb6a14
Larkin, Charles
860cc648-ea70-4c86-9126-8b7bd8720847
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Corbet, Shaen, Meegan, Andrew, Larkin, Charles, Lucey, Brian and Yarovaya, Larisa (2018) Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. (doi:10.1016/j.econlet.2018.01.004).

Record type: Article

Abstract

We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.

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Accepted/In Press date: 5 January 2018
e-pub ahead of print date: 30 January 2018
Published date: April 2018
Keywords: Cryptocurrencies, Bitcoin, Litecoin, Time varying, spillovers

Identifiers

Local EPrints ID: 426223
URI: http://eprints.soton.ac.uk/id/eprint/426223
ISSN: 0165-1765
PURE UUID: 0313876b-00b2-471a-9bc7-a5ba0a990369
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 20 Nov 2018 17:30
Last modified: 28 Apr 2022 04:27

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Contributors

Author: Shaen Corbet
Author: Andrew Meegan
Author: Charles Larkin
Author: Brian Lucey
Author: Larisa Yarovaya ORCID iD

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