TY - JOUR
T1 - Higher moment connectedness in cryptocurrency market
AU - Hasan, Mudassar
AU - Naeem, Muhammad Abubakr
AU - Arif, Muhammad
AU - Yarovaya, Larisa
N1 - Funding information: Muhammad Abubakr Naeem gratefully acknowledges the support of Science Foundation Ireland under grant number 16/SPP/3347.
PY - 2021/12/1
Y1 - 2021/12/1
N2 - 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.
AB - 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.
KW - Cryptocurrencies
KW - High-frequency connectedness
KW - Higher-moments
KW - Spillovers
UR - http://www.scopus.com/inward/record.url?scp=85114992462&partnerID=8YFLogxK
U2 - 10.1016/j.jbef.2021.100562
DO - 10.1016/j.jbef.2021.100562
M3 - Article
AN - SCOPUS:85114992462
SN - 2214-6350
VL - 32
JO - Journal of Behavioral and Experimental Finance
JF - Journal of Behavioral and Experimental Finance
M1 - 100562
ER -