Higher moment connectedness in cryptocurrency market

Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif, Larisa Yarovaya

Research output: Contribution to journalArticlepeer-review

42 Citations (Scopus)

Abstract

Using 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market.

Original languageEnglish
Article number100562
JournalJournal of Behavioral and Experimental Finance
Volume32
DOIs
Publication statusPublished - Dec 2021
Externally publishedYes

Keywords

  • Cryptocurrencies
  • High-frequency connectedness
  • Higher-moments
  • Spillovers

ASJC Scopus subject areas

  • Finance

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