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High Frequency Price Change Spillovers in Bitcoin Markets

Department of Economics and Management, University of Pavia, Via S. Felice 5, 27100 Pavia (PV), Italy
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Risks 2019, 7(4), 111; https://doi.org/10.3390/risks7040111
Received: 20 September 2019 / Revised: 23 October 2019 / Accepted: 24 October 2019 / Published: 1 November 2019
(This article belongs to the Special Issue Financial Networks in Fintech Risk Management)
The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange platforms during two periods of main interest: the 2017 surge in prices and the 2018 decline. We concluded that Bitfinex and Gemini are leading exchanges in terms of return spillover transmission during the analyzed time-frame, while Bittrexs act as a follower. We also found that connectedness of overall returns fell substantially right before the Bitcoin price hype, whereas it leveled out during the period the down market period. We confirmed that the results are robust with regards to the modeling strategies. View Full-Text
Keywords: Bitcoin; market risk; market linkages; vector error correction; forecast error variance decomposition; spillovers Bitcoin; market risk; market linkages; vector error correction; forecast error variance decomposition; spillovers
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Giudici, P.; Pagnottoni, P. High Frequency Price Change Spillovers in Bitcoin Markets. Risks 2019, 7, 111.

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