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Contagion Effect in Cryptocurrency Market

1,2,3,* and 4,5
VALORIZA—Research Center for Endogenous Resource Valorization, 7300 Portalegre, Portugal
Instituto Politécnico de Portalegre, 7300 Portalegre, Portugal
CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000 Évora, Portugal
Programa de Modelagem Computacional, SENAI Cimatec, Av. Orlando Gomes 1845, 41650-010 Salvador, BA, Brazil
Instituto Federal do Maranhão, 65075-441 São Luís-MA, Brazil
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2019, 12(3), 115;
Received: 11 June 2019 / Revised: 7 July 2019 / Accepted: 8 July 2019 / Published: 10 July 2019
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
PDF [1821 KB, uploaded 10 July 2019]


The rapid development of cryptocurrencies has drawn attention to this particular market, with investors trying to understand its behaviour and researchers trying to explain it. The evolution of cryptocurrencies’ prices showed a kind of bubble and a crash at the end of 2017. Based on this event, and on the fact that Bitcoin is the most recognized cryptocurrency, we propose to evaluate the contagion effect between Bitcoin and other major cryptocurrencies. Using the Detrended Cross-Correlation Analysis correlation coefficient (ΔρDCCA) and comparing the period after and before the crash, we found evidence of a contagion effect, with this particular market being more integrated now than in the past—something that should be taken into account by current and potential investors. View Full-Text
Keywords: cryptocurrency; contagion effect; detrended cross-correlation analysis; Bitcoin cryptocurrency; contagion effect; detrended cross-correlation analysis; Bitcoin

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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Ferreira, P.; Pereira, É. Contagion Effect in Cryptocurrency Market. J. Risk Financial Manag. 2019, 12, 115.

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