Contagion Effect in Cryptocurrency Market
AbstractThe 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
Share & Cite This Article
Ferreira, P.; Pereira, É. Contagion Effect in Cryptocurrency Market. J. Risk Financial Manag. 2019, 12, 115.
Ferreira P, Pereira É. Contagion Effect in Cryptocurrency Market. Journal of Risk and Financial Management. 2019; 12(3):115.Chicago/Turabian Style
Ferreira, Paulo; Pereira, Éder. 2019. "Contagion Effect in Cryptocurrency Market." J. Risk Financial Manag. 12, no. 3: 115.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.