Purpose

This study aims to examine the volatility spillovers between Bitcoin (BTC), Litecoin (LTC) and Ethereum (ETH) as they are related to structural breaks.

Design/methodology/approach

This study examines the daily period from August 7, 2015 to July 10, 2018 by conducting causality-in-mean and causality-in-variance tests among cryptocurrencies.

Findings

The findings showed that there was one-way causality-in-mean from BTC to LTC and ETH, but there was no causality-in-mean from LTC and ETH to BTC. On the other hand, considering the structural breaks included in the variance equations, the estimation results showed that there were short-term causality-in-variance from LTC to BTC and long-term causality-in-variance from BTC to LTC.

Originality/value

This study fills the gap by contributing in two ways. First, to the best of the authors’ knowledge, this is the first study that used the cross-correlation function (CCF) of causality to explore causality-in-variance among cryptocurrencies. Second, this study considers the structural breaks in variance in the return series.

中文翻译：

---

比特币、莱特币和以太坊之间的均值因果关系和方差中的因果关系

目的

本研究旨在检查比特币 (BTC)、莱特币 (LTC) 和以太坊 (ETH) 之间的波动溢出效应，因为它们与结构性断裂有关。

设计/方法/方法

本研究通过对加密货币进行均值因果关系和方差因果关系测试来检查 2015 年 8 月 7 日至 2018 年 7 月 10 日期间的每日时段。

发现

结果表明，从 BTC 到 LTC 和 ETH 存在单向均值因果关系，但从 LTC 和 ETH 到 BTC 没有均值因果关系。另一方面，考虑到方差方程中包含的结构性断裂，估计结果表明存在从 LTC 到 BTC 的短期因果关系和从 BTC 到 LTC 的长期因果关系。

原创性/价值

这项研究通过两种方式填补了这一空白。首先，据作者所知，这是第一项使用因果关系的互相关函数 (CCF) 来探索加密货币之间因果关系的研究。其次，本研究考虑了收益序列中方差的结构性中断。