Asymmetric effect and dynamic relationships over the cryptocurrencies market

This study seeks to confirm the presence of contagion effect among cryptocurrencies and to identify the process of its spreading To capture spillover dynamics, this study investigates the asymmetric effect and dynamic relationships between Bitcoin and a large set of other cryptocurrencies returns. The empirical analysis based on VAR, GJR-GARCH and DCC-GJR-GARCH models indicates a dynamic conditional correlation between Bitcoin and other cryptocurrencies returns and a dynamic spillover. Results, specifically, report that positive shocks increase the volatility by more than negative ones. Our findings recommend diversified cryptocurrencies portfolios and help financial investors to build their portfolios by the evaluation of their co-movements. Traders need to adjust their portfolios frequently according to the type of cryptocurrency and market conditions. (C) 2020 Elsevier Ltd. All rights reserved.