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A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets

Laboratory of Economic Policy and Strategic Planning, Department of Economics, University of Thessaly, 28th October 78 Street, P.C. 38333 Volos, Greece
J. Risk Financial Manag. 2019, 12(4), 170; https://doi.org/10.3390/jrfm12040170
Received: 14 October 2019 / Revised: 9 November 2019 / Accepted: 11 November 2019 / Published: 12 November 2019
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among Bitcoin and national currencies, while economic policy uncertainty is not influential. This survey provides useful guidance in the hotly-debated issue of reform and decentralization of financial systems. View Full-Text
Keywords: survey; cryptocurrency; spillovers; return; volatility survey; cryptocurrency; spillovers; return; volatility
MDPI and ACS Style

Kyriazis, N.A. A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets. J. Risk Financial Manag. 2019, 12, 170.

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