Abstract This study seeks to confirm the presence of contagion effect among cryptocurrencies and to identify the process of its spreading To capture spillover dynamics, this study investigates the asymmetric effect and dynamic relationships between Bitcoin and a large set of other cryptocurrencies returns. The empirical analysis based on VAR, GJR-GARCH and DCC-GJR-GARCH models indicates a dynamic conditional correlation between Bitcoin and other cryptocurrencies returns and a dynamic spillover. Results, specifically, report that positive shocks increase the volatility by more than negative ones. Our findings recommend diversified cryptocurrencies portfolios and help financial investors to build their portfolios by the evaluation of their co-movements. Traders need to adjust their portfolios frequently according to the type of cryptocurrency and market conditions.

中文翻译：

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加密货币市场的不对称效应和动态关系

摘要 本研究旨在确认加密货币之间存在传染效应并确定其传播过程为了捕捉溢出动态，本研究调查了比特币与大量其他加密货币回报之间的不对称效应和动态关系。基于 VAR、GJR-GARCH 和 DCC-GJR-GARCH 模型的实证分析表明比特币和其他加密货币回报之间存在动态条件相关性和动态溢出。具体而言，结果表明，正面冲击使波动性增加的幅度大于负面冲击。我们的研究结果推荐了多元化的加密货币投资组合，并通过评估他们的联动来帮助金融投资者建立他们的投资组合。