Volatility co-movement between Bitcoin and Ether

KATSIAMPA, Paraskevi (2018). Volatility co-movement between Bitcoin and Ether. Finance Research Letters.

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Official URL: https://www.sciencedirect.com/science/article/pii/...
Link to published version:: https://doi.org/10.1016/j.frl.2018.10.005


Using a bivariate Diagonal BEKK model, this paper investigates the volatility dynamics of the two major cryptocurrencies, namely Bitcoin and Ether. We find evidence of interdependencies in the cryptocurrency market, while it is shown that the two cryptocurrencies' conditional volatility and correlation are responsive to major news. In addition, we show that Ether can be an effective hedge against Bitcoin, while the analysis of optimal portfolio weights indicates that Bitcoin should outweigh Ether. Understanding volatility movements and interdependencies in cryptocurrency markets is important for appropriate investment management, and our study can thus assist cryptocurrency users in making more informed decisions.

Item Type: Article
Departments - Does NOT include content added after October 2018: Sheffield Business School > Department of Service Sector Management
Identification Number: https://doi.org/10.1016/j.frl.2018.10.005
Depositing User: Carmel House
Date Deposited: 16 Nov 2018 12:29
Last Modified: 18 Mar 2021 03:30
URI: https://shura.shu.ac.uk/id/eprint/23035

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