Special Issue "Recent Developments in Cryptocurrency Markets: Co-movements, Spillovers and Forecasting"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Economics".

Deadline for manuscript submissions: 31 July 2020.

Special Issue Editor

Prof. Dr. Thanasis Stengos
E-Mail Website
Guest Editor
Professor of Economics and University Research Chair in Econometrics, Department of Economics and Finance, University of Guelph, Guelph, Canada
Tel. 1-519-8244120 ext 53917
Interests: nonparametric econometrics; applied time series models; empirical finance; empirical growth
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Special Issue Information

Dear Colleagues,

The emergence of Bitcoin and other cryptocurrencies has led to an explosion of trading and speculation in once non-traditional markets. There is a large number of cryptocurrencies in existence, see, for example, the website Coin Market Cap that has a complete list: https://coinmarketcap.com/all/views/all/. Of those, four stand apart from the rest in terms of market capitalization and volume. These are Bitcoin, Ethereum, XRP, and Litecoin and as of March 27, 2019, their market capitalizations stood at $71.9 Billion, $17.8 Billion, $13.0 Billion, and $3.8 Billion, respectively. Each of these has its own unique features and purpose, and even though there is a huge and ever-growing literature on their individual behavior there has been considerably less work on investigating their interactions and interrelationships when taken together as a group. In this Special Issue, the emphasis will be primarily on investigating the relationship between the different cryptocurrencies over time, by identifying co-movement patterns, forecasting ability, and leading trends of individual currencies that cause spillover effects.

Prof. Dr. Thanasis Stengos
Guest Editor

Manuscript Submission Information

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Keywords

  • Cryptocurrencies
  • Spillover effects
  • Forecasting
  • Trends and co-movements

Published Papers (2 papers)

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Research

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Open AccessArticle
A Principal Component-Guided Sparse Regression Approach for the Determination of Bitcoin Returns
J. Risk Financial Manag. 2020, 13(2), 33; https://doi.org/10.3390/jrfm13020033 - 13 Feb 2020
Abstract
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables [...] Read more.
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables for bitcoin. We also trace strong evidence of bubbly bitcoin behavior in the 2017–2018 period. Full article
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Review

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Open AccessReview
A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets
J. Risk Financial Manag. 2019, 12(4), 170; https://doi.org/10.3390/jrfm12040170 - 12 Nov 2019
Cited by 1
Abstract
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 [...] Read more.
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. Full article
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