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Higher moment connectedness in cryptocurrency market

Higher moment connectedness in cryptocurrency market
Higher moment connectedness in cryptocurrency market

Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market.

Cryptocurrencies, High-frequency connectedness, Higher-moments, Spillovers
2214-6350
Hasan, Mudassar
e6221ed3-5311-4643-9aa7-c1cb71f1cc94
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Arif, Muhammad
f1db87cf-b645-4c9b-adcb-78c98dfd468a
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Hasan, Mudassar
e6221ed3-5311-4643-9aa7-c1cb71f1cc94
Naeem, Muhammad Abubakr
959d6cc4-53d1-47dc-8c3c-0354a08633d7
Arif, Muhammad
f1db87cf-b645-4c9b-adcb-78c98dfd468a
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Hasan, Mudassar, Naeem, Muhammad Abubakr, Arif, Muhammad and Yarovaya, Larisa (2021) Higher moment connectedness in cryptocurrency market. Journal of Behavioral and Experimental Finance, 32, [100562]. (doi:10.1016/j.jbef.2021.100562).

Record type: Article

Abstract

Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market.

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Manuscript_Crypto_Final - Accepted Manuscript
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More information

Accepted/In Press date: 25 August 2021
e-pub ahead of print date: 4 September 2021
Published date: 1 December 2021
Keywords: Cryptocurrencies, High-frequency connectedness, Higher-moments, Spillovers

Identifiers

Local EPrints ID: 453234
URI: http://eprints.soton.ac.uk/id/eprint/453234
ISSN: 2214-6350
PURE UUID: 9355054c-6f8b-46f8-9a70-d599ae3a951a
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 11 Jan 2022 17:40
Last modified: 28 Apr 2022 02:26

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Contributors

Author: Mudassar Hasan
Author: Muhammad Abubakr Naeem
Author: Muhammad Arif
Author: Larisa Yarovaya ORCID iD

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