Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks

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Atıf İçin Kopyala

POLAT O.

Anadolu Üniversitesi Sosyal Bilimler Dergisi, cilt.23, sa.1, ss.29-50, 2023 (Hakemli Dergi)

• 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
• 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.