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首页> 外文期刊>Journal of International Financial Markets, Institutions & Money >Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
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Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios

机译：加密货币市场蔓延：市场不确定性，市场复杂性和动态投资组合

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摘要

In this study, we employ a TVP-FAVAR connectedness approach in order to investigate the transmission mechanism in the cryptocurrency market. To this end, we concentrate on the top 9 cryptocurrencies by virtue of market capitalization and one market factor - based on 45 additional digital currencies - capturing the co-movements in the cryptocurrency market. The period of study spans between August 7, 2015 and May 31, 2018. We find that the dynamic total connectedness across several cryptocurrencies exhibits large dynamic variability ranging between 25% and 75%. In particular, periods of high (low) market uncertainty correspond to strong (weak) connectedness. We show that these results could be explained on the basis of increased market uncertainty that is associated with periods of highly volatile prices. In addition, despite the fact that Bitcoin still influences the cryptocurrency market substantially, we note that, recently, Ethereum has become the number one net transmitting cryptocurrency. We further note that the market gradually becomes more complex considering our connectedness approach and that this might be attributed to the unique characteristics and possibilities inherent in the technology of each cryptocurrency. A simplified application concentrating on bivariate portfolios is indicative of potential hedging opportunities using dynamic hedge ratios and dynamic portfolio weights. (C) 2019 Elsevier B.V. All rights reserved.
机译：在这项研究中，我们采用TVP-FAVAR连通性方法来研究加密货币市场中的传输机制。为此，我们凭借市值和一个市场因素（基于45种其他数字货币）专注于排名前9位的加密货币，从而捕获了加密货币市场中的共同动向。研究时间跨度为2015年8月7日至2018年5月31日。我们发现，几种加密货币之间的动态总连通性表现出较大的动态变化，范围在25％至75％之间。特别地，高（低）市场不确定性时期对应于强（弱）联系。我们表明，这些结果可以在与价格高度波动时期相关的市场不确定性增加的基础上进行解释。此外，尽管事实上比特币仍然在很大程度上影响着加密货币市场，但我们注意到，以太坊最近已成为排名第一的净传输加密货币。我们进一步注意到，考虑到我们的连通性方法，市场逐渐变得更加复杂，这可能归因于每种加密货币技术固有的独特特征和可能性。集中于二元投资组合的简化应用程序使用动态对冲比率和动态投资组合权重来指示潜在的对冲机会。 （C）2019 Elsevier B.V.保留所有权利。

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    Antonakakis Nikolaos; Chatziantoniou Ioannis; Gabauer David;

  • 作者单位

    Webster Vienna Private Univ, Dept Business & Management, Praterstr 23, A-1020 Vienna, Austria|Univ Portsmouth, Econ & Finance Subject Grp, Portsmouth Business Sch, Portland St, Portsmouth PO1 3DE, Hants, England;

    Webster Vienna Private Univ, Dept Business & Management, Praterstr 23, A-1020 Vienna, Austria|Univ Portsmouth, Econ & Finance Subject Grp, Portsmouth Business Sch, Portland St, Portsmouth PO1 3DE, Hants, England;

    Webster Vienna Private Univ, Dept Business & Management, Praterstr 23, A-1020 Vienna, Austria|Johannes Kepler Univ Linz, Inst Appl Stat, Altenbergerstrae 69, A-4040 Linz, Austria;

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  • 原文格式 PDF
  • 正文语种 eng
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  • 关键词

    Cryptocurrencies; Connectedness; Contagion; TVP-FAVAR;

    机译：加密货币;连接性;传染性;TVP-FAVAR;

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