Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298994 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 9 [Issue:] 3 [Year:] 2020 [Pages:] 87-106
Publisher: 
Sciendo, Warsaw
Abstract: 
This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for crypto-currency portfolio managers and investors in distressed times.
Subjects: 
Bitcoin
Ethereum
Ripple
Garch
Volatility
Bear market
JEL: 
G11
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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