Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14365/2351
Title: | Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis | Authors: | Vardar, Gülin Tacoglu, Caner Aydogan, Berna |
Keywords: | Cryptocurrencies Return Spillovers Volatility Spillovers Investment Strategy VAR-BEKKGARCH Safe-Haven Bitcoin Market Hedge Currencies Causality Dollar Jumps Gold |
Publisher: | Eskisehir Osmangazi Univ, Fac Education | Abstract: | This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators. | URI: | https://doi.org/10.17153/oguiibf.1145664 https://search.trdizin.gov.tr/yayin/detay/1141579 https://hdl.handle.net/20.500.14365/2351 |
ISSN: | 1306-6730 |
Appears in Collections: | TR Dizin İndeksli Yayınlar Koleksiyonu / TR Dizin Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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