Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks
Anadolu Üniversitesi Sosyal Bilimler Dergisi, cilt.23, sa.1, ss.29-50, 2023 (TRDizin)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 23 Sayı: 1
- Basım Tarihi: 2023
- Doi Numarası: 10.18037/ausbd.1272534
- Dergi Adı: Anadolu Üniversitesi Sosyal Bilimler Dergisi
- Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
- Sayfa Sayıları: ss.29-50
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Bilecik Şeyh Edebali Üniversitesi Adresli: Evet
Özet
This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected the dynamic connectedness; (ii) the total connectedness index hits its apex around the official announcement of the pandemic; (iii) in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; (iv) the tightest volatility interdependencies are related to the short-run.