Are cryptocurrencies becoming more interconnected?
Statistical Finance
2020-10-01 v1 Portfolio Management
Abstract
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the different aspects of market linkages. Financial and regulatory implications are discussed.
Cite
@article{arxiv.2009.14561,
title = {Are cryptocurrencies becoming more interconnected?},
author = {Nektarios Aslanidis and Aurelio F. Bariviera and Alejandro Perez-Laborda},
journal= {arXiv preprint arXiv:2009.14561},
year = {2020}
}
Comments
15 pages, 5 figures, 5 tables, supplementary material included