Does Bitcoin still own the dominant power? An intraday analysis |
| |
| Institution: | 1. School of Mathematical Sciences, Zhejiang University, Hangzhou 310027, China;2. Department of Social Sciences, Education University of Hong Kong, Hong Kong;1. Arkansas State University, State University, AR 72467, USA;2. The University of Memphis, Memphis, TN 38152, USA;1. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;2. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;3. USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon;4. Department of Accountancy, Finance and Economics, Huddersfield Business School, University of Huddersfield, Queensgate, Huddersfield, UK;5. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France;1. USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon;2. Trinity Business School, Trinity College Dublin, Dublin 2, Ireland;3. Montpellier Business School, Montpellier, France |
| |
| Abstract: | The study investigates the intraday dynamics and price patterns of the primary cryptocurrencies. The Granger Mackey-Glass (M-G) model is employed to examine the asymmetric and nonlinear dynamic interactions in the first moment using positive and negative returns. The bivariate BEKK-GARCH model is applied to identify cross-market volatility shocks and volatility transmissions in the cryptocurrency market. The intra-cryptocurrency market analysis reveals that Bitcoin contains predictive information that can nonlinearly forecast the performance of other digital currencies when cryptocurrency prices either are rising or declining. The dominant power of Bitcoin is not dismissed using the intraday data. Further, Bitcoin's intraday lagged shocks and volatility induces more rapid and destabilizing effects on the conditional volatility of other currencies than each of the other currencies does on BTC's conditional volatility. The virtual currency markets are dynamically correlated and integrated through first and second-moment spillovers. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
