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Correlated at the tail: implications of asymmetric tail-dependence across bitcoin markets

Correlated at the tail: implications of asymmetric tail-dependence across bitcoin markets
Correlated at the tail: implications of asymmetric tail-dependence across bitcoin markets
This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of 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.
Cross-quantilogram, Cross-market Bitcoin prices, Time-varying stability
1572-9974
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Uddin, Gazi
d8d14ca8-3479-4eb4-a1cd-1df009424ef2
Bekiros, Stelios
ebd13b39-b134-4631-a47c-3caf99b53e6b
Hedström, Axel
f7c69f0b-19b9-4e73-bf76-2133af4fd586
Jayasekera, Evgeniia
b31bf380-45c2-46bc-972b-69ac5841ca0e
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Uddin, Gazi
d8d14ca8-3479-4eb4-a1cd-1df009424ef2
Bekiros, Stelios
ebd13b39-b134-4631-a47c-3caf99b53e6b
Hedström, Axel
f7c69f0b-19b9-4e73-bf76-2133af4fd586
Jayasekera, Evgeniia
b31bf380-45c2-46bc-972b-69ac5841ca0e

Mishra, Tapas, Uddin, Gazi, Bekiros, Stelios, Hedström, Axel and Jayasekera, Evgeniia (2020) Correlated at the tail: implications of asymmetric tail-dependence across bitcoin markets. Computational Economics. (doi:10.1007/s10614-020-10058-6).

Record type: Article

Abstract

This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of 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.

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Accepted/In Press date: 4 October 2020
e-pub ahead of print date: 16 October 2020
Keywords: Cross-quantilogram, Cross-market Bitcoin prices, Time-varying stability

Identifiers

Local EPrints ID: 445012
URI: http://eprints.soton.ac.uk/id/eprint/445012
ISSN: 1572-9974
PURE UUID: d40dc124-b81d-4a97-9a73-0a84cbce56dd
ORCID for Tapas Mishra: ORCID iD orcid.org/0000-0002-6902-2326

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Date deposited: 18 Nov 2020 13:16
Last modified: 28 Apr 2022 04:20

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Contributors

Author: Tapas Mishra ORCID iD
Author: Gazi Uddin
Author: Stelios Bekiros
Author: Axel Hedström
Author: Evgeniia Jayasekera

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