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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