ABSTRACT

This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.

摘要

本研究量化了七种加密货币之间的溢出效应，探讨了七种加密货币的溢出特征，即比特币、以太坊、瑞波币、莱特币、门罗币、恒星币和新经币。回报的连通性网络基于标准 VAR 和分位数 VAR 溢出。此外，该框架侧重于完整的、COVID-19 危机之前和之后的子样本期。我们的结果强调，比特币、莱特币和瑞波币是回报溢出的主要传输器。比特币/莱特币和瑞波币/Sellar 对的互连性最强。有趣的是，以太坊是系统中不变的接收者，并受到大多数加密货币的影响。此外，NEM 与网络中充当潜在多元化者的任何加密货币都没有任何联系。分位数溢出表明右尾和左尾的连接强度增加。子样本分析证实了在 COVID 之前的时期内跨加密货币的低网络集成度。最后，后 COVID 时期表明加密货币之间存在纠缠不清的集群。该分析提供了在预分析阶段获得的对比结果。研究强调了对投资者和政策制定者的影响。