Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms
Agata Kliber , Katarzyna Włosik
AbstractThe aim of this research is to investigate interdependencies between leading cryptocurrency exchanges (American, European and Japanese ones). We examine price and volume spillovers of daily frequency, to answer the question whether these platforms are integrated one with another or whether they form different isolated clusters. The results show that the big exchanges are indeed closely linked one to another. However, the magnitude of spillovers is higher in the case of prices, compared to volume. We also find that the analysed markets react with the same intensity to the price shocks coming from the other markets as to their own shocks. They are, however, more isolated in terms of volume spillovers.
|Journal series||Finance A Uver-Czech Journal of Economics and Finance, [Finance a Uver], ISSN 0015-1920, e-ISSN 2464-7683, (N/A 40 pkt)|
|Publication size in sheets||0.85|
|Keywords in Polish||bitcoin, kryptowaluta, wolumen, przenoszenie cen, indeks przenoszenia|
|Keywords in English||bitcoin, cryptocurrency, volume, price spillovers, spillover index|
|ASJC Classification||; ;|
|Score||= 40.0, 07-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.527; : 2017 = 0.563 (2) - 2017=0.631 (5)|
|Citation count*||4 (2020-10-09)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.