Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

IF 6.9 1区 经济学 Q1 BUSINESS, FINANCE Financial Innovation Pub Date : 2024-04-12 DOI:10.1186/s40854-023-00585-0
Meiyu Wu, Li Wang, Haijun Yang
{"title":"Heterogeneity in the volatility spillover of cryptocurrencies and exchanges","authors":"Meiyu Wu, Li Wang, Haijun Yang","doi":"10.1186/s40854-023-00585-0","DOIUrl":null,"url":null,"abstract":"This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.","PeriodicalId":37175,"journal":{"name":"Financial Innovation","volume":"15 1","pages":""},"PeriodicalIF":6.9000,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Innovation","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1186/s40854-023-00585-0","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
加密货币和交易所波动溢出的异质性
本研究考察了四个代表性交易所和六种流动加密货币的波动溢出效应。利用交易所的高频交易数据,可以在时域和频域上动态考察交易所在波动溢出方面的异质性。我们发现,瑞波币在 Coinbase 是净接收者,但在其他交易所则是净贡献者。Bitfinex 和 Binance 对六个加密货币市场的净溢出效应各不相同。最后,我们确定了两类波动溢出中总连接性的决定因素,这两类波动溢出可以解释加密货币或交易所之间的相互联系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
Financial Innovation
Financial Innovation Economics, Econometrics and Finance-Finance
CiteScore
11.40
自引率
11.90%
发文量
95
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.
期刊最新文献
Machine learning in business and finance: a literature review and research opportunities Predictive crypto-asset automated market maker architecture for decentralized finance using deep reinforcement learning Cryptocurrencies under climate shocks: a dynamic network analysis of extreme risk spillovers Exploring the coherency and predictability between the stocks of artificial intelligence and energy corporations From CFOs to crypto: exploratory study unraveling factors in corporate adoption
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1