A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets

Nikolaos A Kyriazis

doi:10.3390/jrfm12040170

Abstract

This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among Bitcoin and national currencies, while economic policy uncertainty is not influential. This survey provides useful guidance in the hotly-debated issue of reform and decentralization of financial systems.

Highlights

With the emergence of a large number of cryptocurrencies since the bull market of 2017, a heated debate has ensued over whether Bitcoin could preserve its leading role in the markets of digital coins
Earlier papers have been focusing on the characteristics (Selgin 2015; Böhme et al 2015; Ammous 2018), volatility measurement (Katsiampa 2017, 2019a, 2019b; Chaim and Laurini 2018; Beneki et al 2019; Kyriazis et al 2019), and inefficiency in the markets of digital coins (Urquhart 2016; Nadarajah and Chu 2017; Bariviera 2017)
Two integrated surveys have been conducted that provide the overall views of digital currency characteristics (Corbet et al 2019; Kyriazis 2019)

Summary

Introduction

With the emergence of a large number of cryptocurrencies since the bull market of 2017, a heated debate has ensued over whether Bitcoin could preserve its leading role in the markets of digital coins. In stark contrast to the bulk of relevant research, spillovers among digital currencies are considered to be one of the most fundamental axes for casting light in cryptocurrency markets and gaining insight into the use of innovative forms of money for the purposes of consumption and investments This survey paper abstains from mingling up with co-movements between virtual coins and concentrates on the preponderant issue of spillover impacts in their returns and volatilities. The VAR-BEKK-asymmetric GARCH methodology has been adopted in order to examine the return, volatility, and shock spillovers between financial assets. This model takes into consideration the asymmetries of negative shocks on conditional variance as in Symitsi and Chalvatzis (2018). The autoregressive distributed lag (ARDL) methodology has been employed for the same purposes by Ciaian and Rajcaniova (2018)

Studies about Spillovers among Cryptocurrency Markets

Conclusions about Spillovers

October 2010–8 February Coindesk

Findings

Conclusions