This study aims to test multiple structural breaks using Bai-Perron methodology for the crypto markets. We analyze return and volatility (proxied by absolute and squared returns) series of Bitcoin and the following crypto assets: Bitcoin Cash, DASH, Ethereum, IOTA, Litecoin, NEO, XRP. In the analysis, we consider the BTC markets of those 7 altcoins as well as the USD markets. Empirical findings indicate existence of statistically significant structural changes in terms of returns and volatility. Return and volatility series share different dynamics. On the other hand, time series quoted in BTC perform different structural change behavior than the ones quoted in USD. We also observed a clustering of breakpoints in the periods of February–March 2017 and December 2017–March 2018. For the logarithmic returns, in the mean of BTCUSD and series quoted in BTC no structural breaks are available. The mean of logarithmic returns of DASH, ETH and LTC quoted in USD have structural changes corresponding to the beginning of the downtrend in USD price series of the relevant assets. Absolute returns revealed more of structural breaks in terms of volatility than squared returns. Except for IOTA, volatility last longer in the series quoted in USD than the ones quoted in BTC. For the volatility series of ETH, LTC and NEO, regimes in the time series quoted in BTC is affected by the trend change in the USD quoted price series of the asset. We have defined this regime change and trend change relationship as “trend awareness-based interaction”. We also found a specific trend change pattern in the time series. In comparison to the time series of altcoins, BTCUSD is the first one which has the trend change almost in all cases. Besides, the time series of BCH, ETH, LTC and NEO (and DASH partly) follows a specific trend change order as the following: first in USD quoted time series of the altcoin and then in BTC quoted ones, while the time series of IOTA and XRP indicate the opposite.

这项研究旨在使用Bai-Perron方法测试加密市场的多个结构性突破。我们分析了比特币和以下加密资产的收益和波动率（由绝对收益和平方收益代理）系列：比特币现金，DASH，以太坊，IOTA，Litecoin，NEO，XRP。在分析中，我们考虑了这7种山寨币的BTC市场以及美元市场。经验发现表明，就收益和波动性而言，存在统计学上显着的结构变化。收益率和波动率系列具有不同的动态。另一方面，BTC中引用的时间序列与USD中引用的时间序列具有不同的结构变化行为。我们还观察到了2017年2月至2017年3月以及2017年12月至2018年3月期间断点的聚集。对于对数收益，在BTCUSD的平均值和BTC中引用的系列中，没有结构性中断。以美元报价的DASH，ETH和LTC的对数收益平均值具有结构变化，对应于相关资产的美元价格序列下降趋势的开始。绝对收益显示出更多的波动性结构性突破，而不是平方收益。除IOTA以外，美元报价系列的波动性持续时间要长于BTC报价的波动性。对于ETH，LTC和NEO的波动率系列，以BTC报价的时间序列中的制度受到资产美元报价价格序列趋势变化的影响。我们将这种政权变化与趋势变化的关系定义为“基于趋势意识的互动”。我们还在时间序列中找到了特定的趋势变化模式。与山寨币的时间序列相比，BTCUSD几乎在所有情况下都是趋势变化的第一个。此外，BCH，ETH，LTC和NEO（部分为DASH）的时间序列遵循特定的趋势变化顺序，如下所示：首先以山寨币的美元报价时间序列，然后以BTC报价的时间序列，而IOTA的时间序列XRP则相反。