{"title":"A Time-Varying Network for Cryptocurrencies","authors":"Li Guo, Wolfgang Karl Härdle, Yubo Tao","doi":"10.1080/07350015.2022.2146695","DOIUrl":null,"url":null,"abstract":"<p><b>Abstract</b></p><p>Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.</p>","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"59 1","pages":""},"PeriodicalIF":2.9000,"publicationDate":"2022-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Business & Economic Statistics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/07350015.2022.2146695","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms.
期刊介绍：
The Journal of Business and Economic Statistics (JBES) publishes a range of articles, primarily applied statistical analyses of microeconomic, macroeconomic, forecasting, business, and finance related topics. More general papers in statistics, econometrics, computation, simulation, or graphics are also appropriate if they are immediately applicable to the journal''s general topics of interest. Articles published in JBES contain significant results, high-quality methodological content, excellent exposition, and usually include a substantive empirical application.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
