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arXiv · 2009.14561

Are cryptocurrencies becoming more interconnected?

Nektarios Aslanidis·Aurelio F. Bariviera·Alejandro Perez-Laborda
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Abstract

This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the different aspects of market linkages. Financial and regulatory implications are discussed.

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Nektarios Aslanidis, Aurelio F. Bariviera, Alejandro Perez-Laborda. 2020-09-30. Are cryptocurrencies becoming more interconnected?. https://arxiv.org/abs/2009.14561

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