Isolated Islands or Communicating Vessels? – Bitcoin Price and Volume Spillovers Across Cryptocurrency Platforms
Kliber, Agata; Włosik, Katarzyna
Year: 2019 Volume: 69 Issue: 4 Pages: 324-341
Abstract: The aim of this research is to investigate interdependencies between leading cryptocurrency exchanges (American, European and Japanese ones). We examine price and volume spillovers of daily frequency, to answer the question whether these platforms are integrated one with another or whether they form different isolated clusters. The results show that the big exchanges are indeed closely linked one to another. However, the magnitude of spillovers is higher in the case of prices, compared to volume. We also find that the analysed markets react with the same intensity to the price shocks coming from the other markets as to their own shocks. They are, however, more isolated in terms of volume spillovers.
JEL classification: G10, G23
Keywords: bitcoin, cryptocurrency, volume, price spillovers, spillover index
RePEc: https://ideas.repec.org/a/fau/fauart/v69y2019i4p324-341.html
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