Return and volatility spillovers among cryptocurrencies

Abstract

This paper measures interdependencies among 18 major cryptocurrencies and shows that (i) Bitcoin is the dominant contributor of return and volatility spillovers among all the sampled cryptocurrencies; (ii) return and volatility spillovers have risen steadily over time; (iii) there are ’spikes’ in spillovers during major news events regarding cryptocurrencies. These findings suggest growing interdependence among cryptocurrencies and, by extension, a higher degree of contagion risk. It may be the case that cryptocurrencies are becoming more integrated, albeit this makes for interesting future empirical testing. In addition, the time-varying nature of spillovers reveals a certain dimension of uncertainty regarding the future of these digital currencies.