Contagion Effect in Cryptocurrency Market

被引：28
作者：
Ferreira, Paulo [1 ,2 ,3 ]
Pereira, Eder [4 ,5 ]
机构：
[1] VALORIZA Res Ctr Endogenous Resource Valorizat, P-7300 Portalegre, Portugal
[2] Inst Politecn Portalegre, P-7300 Portalegre, Portugal
[3] Univ Evora, CEFAGE UE, IIFA, Largo Colegiais 2, P-7000 Evora, Portugal
[4] SENAI Cimatec, Programa Modelagem Computac, Av Orlando Gomes 1845, BR-41650010 Salvador, BA, Brazil
[5] Inst Fed Maranhao, BR-65075441 Sao Luis, MA, Brazil
来源：
JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2019年 / 12卷 / 03期
关键词：
cryptocurrency; contagion effect; detrended cross-correlation analysis; Bitcoin; STATISTICAL TEST; BITCOIN; INTERDEPENDENCE; INEFFICIENCY; VOLATILITY; ENERGY;
D O I：
10.3390/jrfm12030115
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies' prices showed a kind of bubble and a crash at the end of 2017. Based on this event, and on the fact that Bitcoin is the most recognized cryptocurrency, we propose to evaluate the contagion effect between Bitcoin and other major cryptocurrencies. Using the Detrended Cross-Correlation Analysis correlation coefficient (Delta rho DCCA) and comparing the period after and before the crash, we found evidence of a contagion effect, with this particular market being more integrated now than in the past-something that should be taken into account by current and potential investors.
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页数：8
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