Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis |
| |
| Institution: | 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. Carthage Business School- University Tunis Carthage, Tunisia - Center of Research for Energy and Climate Change (CRECC), France;2. Sorbonne University - Ecole Polytechnique, France;3. Université de Carthage - Ecole Polytechnique, LEFA- IHEC, Carthage, Tunisia;4. Center of Research for Energy and Climate Change (CRECC) - Paris School of Business, France;5. Audencia Business School, 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: | This article examines the co-movement relationship among representative cryptocurrencies from the perspectives of returns and volatility. Wavelet coherence and the correlation network are introduced to explore the interdependence of cryptocurrencies, and then risk reduction and downside risk reduction are used to test the hedging effects of Bitcoin on others at different time frequencies. The empirical results provide evidence of co-movement and hedging effects. Additionally, positive correlations between Bitcoin and other cryptocurrencies exist on short-to-medium investment horizons. Moreover, both Bitcoin's returns and its volatility are ahead of other cryptocurrencies at low frequencies. In addition, a hedging effect across Bitcoin against other cryptocurrencies is more obvious in the long run. Furthermore, Bitcoin has hedging effects on other cryptocurrencies according to time-frequency horizons. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
