Higher moment connectedness in cryptocurrency market

Mudassar Hasan; Muhammad Abubakr Naeem; Muhammad Arif; Larisa Yarovaya

doi:10.1016/j.jbef.2021.100562

Higher moment connectedness in cryptocurrency market

Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif, Larisa Yarovaya^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

53 Citations (Scopus)

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.

Original language	English
Article number	100562
Number of pages	7
Journal	Journal of Behavioral and Experimental Finance
Volume	32
Early online date	4 Sept 2021
DOIs	https://doi.org/10.1016/j.jbef.2021.100562
Publication status	Published - 1 Dec 2021
Externally published	Yes

Keywords

Cryptocurrencies
High-frequency connectedness
Higher-moments
Spillovers

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10.1016/j.jbef.2021.100562

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title = "Higher moment connectedness in cryptocurrency market",

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.",

keywords = "Cryptocurrencies, High-frequency connectedness, Higher-moments, Spillovers",

author = "Mudassar Hasan and Naeem, {Muhammad Abubakr} and Muhammad Arif and Larisa Yarovaya",

note = "Funding information: Muhammad Abubakr Naeem gratefully acknowledges the support of Science Foundation Ireland under grant number 16/SPP/3347.",

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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

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DO - 10.1016/j.jbef.2021.100562

M3 - Article

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VL - 32

JO - Journal of Behavioral and Experimental Finance

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Higher moment connectedness in cryptocurrency market

Abstract

Keywords

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