Causality-in-mean and causality-in-variance among Bitcoin, Litecoin, and Ethereum
Purpose: This study aims to examine the volatility spillovers between Bitcoin (BTC), Litecoin (LTC) and Ethereum (ETH) as they are related to structural breaks. Design/methodology/approach: This study examines the daily period from August 7, 2015 to July 10, 2018 by conducting causality-in-mean and causality-in-variance tests among cryptocurrencies. Findings: The findings showed that there was one-way causality-in-mean from BTC to LTC and ETH, but there was no causality-in-mean from LTC and ETH to BTC. On the other hand, considering the structural breaks included in the variance equations, the estimation results showed that there were short-term causality-in-variance from LTC to BTC and long-term causality-in-variance from BTC to LTC. Originality/value: This study fills the gap by contributing in two ways. First, to the best of the authors’ knowledge, this is the first study that used the cross-correlation function (CCF) of causality to explore causality-in-variance among cryptocurrencies. Second, this study considers the structural breaks in variance in the return series.
Year of publication: |
2021
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Authors: | Gemici, Eray ; Polat, Müslüm |
Published in: |
Studies in Economics and Finance. - Emerald, ISSN 1086-7376, ZDB-ID 2070355-7. - Vol. 38.2021, 4 (11.04.), p. 861-872
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Publisher: |
Emerald |
Saved in:
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