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Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?

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Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh 5701, Saudi Arabia
2
LARTIGE, University of Sfax, Sfax 3018, Tunisia
J. Risk Financial Manag. 2018, 11(4), 66; https://doi.org/10.3390/jrfm11040066
Received: 4 September 2018 / Revised: 14 October 2018 / Accepted: 18 October 2018 / Published: 23 October 2018
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
In the present paper, we investigate connectedness within cryptocurrency markets as well as across the Bitcoin index (hereafter, BPI) and widely traded asset classes such as traditional currencies, stock market indices and commodities, such as gold and Brent oil. A spill over index approach with the spectral representation of variance decomposition networks, is employed to measure connectedness. Results show no significant spillover effects between the nascent market of cryptocurrencies and other financial markets. We suggest that cryptocurrencies are real independent financial instruments that pose no danger to financial system stability. Concerning the connectedness within the cryptocurrency markets, we report a time–frequency–dynamics connectedness nature. Moreover, the decomposition of the total spill over index is mostly dominated by a short frequency component (2–4 days) leading to the conclusion that this nascent market is highly speculative at present. These findings provide insights for regulators and potential international investors. View Full-Text
Keywords: cryptocurrencies; connectedness; spill overs; spectral analysis; time-frequency-dynamic cryptocurrencies; connectedness; spill overs; spectral analysis; time-frequency-dynamic
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Trabelsi, N. Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes? J. Risk Financial Manag. 2018, 11, 66.

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