As Cryptocurrencies are emerging as a new class of investment assets, understanding their price and volatility dynamics has begun to gather momentum, especially the volatility can influence investment decisions. Most of previous literature concentrates primarily on several aspects of Bitcoin and endeavoring to generalize them for the whole cryptocurrency markets. In this study, we attempted to examine the return and volatility spillover effects across a wide range of cryptocurrency markets, i.e. eight major cryptocurrencies (determined by market capitalization) using a Vector Error Correction approach and Diagonal BEKK Multivariate GARCH model. We found the evidence of interdependencies and volatility co-movements among the various pairs of cryptocurrency markets. However, the study suggests that there exists a limited window of opportunity for the short-term portfolio diversification benefits from the selected large-cap cryptocurrency markets.

中文翻译：

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主要加密货币的回报和波动溢出效应

随着加密货币作为一种新的投资资产类别出现，了解其价格和波动性动态的势头已开始积聚，尤其是波动性会影响投资决策。以前的大多数文献主要集中在比特币的几个方面，并努力将它们推广到整个加密货币市场。在本研究中，我们尝试使用向量误差校正方法和对角 BEKK 多元 GARCH 模型来检查各种加密货币市场的回报和波动溢出效应，即八种主要加密货币（由市值确定）。我们发现了各种加密货币市场对之间相互依赖和波动性共同运动的证据。然而，