Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms

Agata Kliber , Katarzyna Włosik

Abstract

The 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.
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
, Katarzyna Włosik (WE / KTPiPP)
Katarzyna Włosik,,
- Department of Money Theory and Monetary Policy
Journal seriesFinance A Uver-Czech Journal of Economics and Finance, [Finance a Uver], ISSN 0015-1920, e-ISSN 2464-7683, (N/A 40 pkt)
Issue year2019
Vol69
No4
Pages324-341
Publication size in sheets0.85
Keywords in Polishbitcoin, kryptowaluta, wolumen, przenoszenie cen, indeks przenoszenia
Keywords in Englishbitcoin, cryptocurrency, volume, price spillovers, spillover index
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
URL http://journal.fsv.cuni.cz/mag/article/show/id/1441
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 07-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.527; WoS Impact Factor: 2017 = 0.563 (2) - 2017=0.631 (5)
Citation count*4 (2020-10-09)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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