1. Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers.
- Author
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Bouri, Elie, Ghaemi Asl, Mahdi, Darehshiri, Sahar, and Gabauer, David
- Subjects
VOLATILITY (Securities) ,CRYPTOCURRENCIES ,MARKET capitalization ,BITCOIN - Abstract
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach combined with a high frequency (hourly) dataset ranging from 1st June 2018 to 22nd July 2022, we find that (i) good and bad spillovers are time-varying; (ii) bad volatility spillovers are more pronounced than good spillovers; (iii) a strong asymmetry in the volatility spillovers exists in the cryptocurrency market; and (iv) conventional cryptocurrencies dominate Islamic cryptocurrencies. Specifically, Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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