Returns and volatility spillovers among cryptocurrency portfolios
International Journal of Managerial Finance
ISSN: 1743-9132
Article publication date: 6 July 2020
Issue publication date: 8 March 2021
Abstract
Purpose
This paper examines the return and volatility spillovers among major cryptocurrency using daily data from 10/08/2015 to 15/04/2018.
Design/methodology/approach
The authors employ the Dielbold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the cryptocurrency market.
Findings
The authors show that there is substantial difference between the behaviour of the cryptocurrency portfolios return and volatility spillover indices over time. The authors find evidence of interdependence among cryptocurrency portfolios given the spillover indices. While the return spillover index reveals increased integration among the currency portfolios, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.
Originality/value
This study makes a methodological contribution by adopting Dielbold and Yilmaz (2012) approach to quantify the returns and volatility transmissions among cryptocurrencies. To the best of our knowledge, little or no study has adopted the Dielbold and Yilmaz (2012) methodology to investigate this dynamic relationship in the cryptocurrencies market. The Dielbold and Yilmaz (2012) approach provides a simple and intuitive measure of interdependence of asset returns and volatilities by exploiting the generalized vector autoregressive framework, which produces variance decompositions that are unaffected by ordering.
Keywords
Acknowledgements
The authors thank the Editor and the anonymous referees for their constructive comments as well as Oluwasegun Adekoya for his sound research assistance.
Citation
Fasanya, I.O., Oyewole, O. and Odudu, T. (2021), "Returns and volatility spillovers among cryptocurrency portfolios", International Journal of Managerial Finance, Vol. 17 No. 2, pp. 327-341. https://doi.org/10.1108/IJMF-02-2019-0074
Publisher
:Emerald Publishing Limited
Copyright © 2020, Emerald Publishing Limited