Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-06-03 DOI:10.1186/s40854-024-00636-0

Elie Bouri, Mahdi Ghaemi Asl, Sahar Darehshiri, David Gabauer

引用次数: 0

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.

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传统加密货币与伊斯兰加密货币之间的非对称关联性：好坏波动溢出效应的证据

本文研究了四种主要加密货币的非对称波动溢出效应动态，这四种加密货币占加密货币市值的近 61%，涵盖传统加密货币（比特币和以太坊）和伊斯兰加密货币（恒星币和瑞波币）。利用新颖的时变参数向量自回归（TVP-VAR）非对称关联性方法，结合从 2018 年 6 月 1 日至 2022 年 7 月 22 日的高频（每小时）数据集，我们发现：(i) 好的和坏的溢出效应是时变的；(ii) 坏的波动溢出效应比好的溢出效应更明显；(iii) 加密货币市场的波动溢出效应存在很强的不对称性；(iv) 传统加密货币主导伊斯兰加密货币。具体而言，以太坊是正波动溢出效应的主要净传播者，而恒星则是负波动溢出效应的主要净传播者。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

审稿时长

5 weeks

期刊介绍： Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.