Do Bitcoin and other cryptocurrencies jump together?

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Date: May 2020
Publisher: Elsevier Advanced Technology Publications
Document Type: Report
Length: 236 words

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Abstract :

Keywords Jumps; Co-Jumps; Volatility; Trading volume; Bitcoin; Cryptocurrencies Highlights * Study jumps in the return series of 12 cryptocurrencies. * Find jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. * Show evidence of co-jumping behaviour in some cases. * Find that co-jumping is joint with a jumping activity in trading volume. * Confirm the importance of trading volume to the volatility of cryptocurrencies. Abstract We detect the presence of jumps in the return series of 12 cryptocurrencies and find significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also examine whether cryptocurrencies' returns jump together and the results of various analyses show evidence of co-jumping behaviour, except for a few cases (Ripple and Bytecoin). These results suggest that the presence of jumps in one cryptocurrency increases the probability of inducing a jump in other cryptocurrencies. However, co-jumping is joint with a jumping activity in trading volume. This later result highlights the importance of jumps in trading volume to the formation of jumps in cryptocurrencies, confirming earlier findings on the importance of trading volume to the volatility of cryptocurrencies. Author Affiliation: (a) USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon (b) Montpellier Business School, Montpellier, France * Corresponding author. Article History: Received 14 May 2019; Revised 1 August 2019; Accepted 10 September 2019 Byline: Elie Bouri [eliebouri@usek.edu.lb] (a,*), David Roubaud [d.roubaud@montpellier-bs.com] (b), Syed Jawad Hussain Shahzad [j.syed@montpellier-bs.com] (b)

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Gale Document Number: GALE|A624915340