Asymmetric connectedness between conventional and Islamic cryptocurrencies:Evidence from good and bad volatility spillovers  

作　　者：Elie Bouri Mahdi Ghaemi Asl Sahar Darehshirit David Gabauer 

机构地区：[1]Academy of Data Science inFinance,Vienna,Austria [2]Lebanese American University,Beirut,Lebanon [3]Kharazmi University,Faculty of Economics,Tehran,Iran [4]American University of Sharjah,Sharjah,United Arab Emirates [5]Institute of Corporate Finance,Johannes Kepler University,Linz,Austria [6]Korea University Business School,Seoul,Korea

出　　处：《Financial Innovation》2024年第1期1047-1072,共26页金融创新(英文)

摘　　要：This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional(Bitcoin and Ethereum)and Islamic(Stellar and Ripple)cryptocurrencies.Using a novel time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach combined with a high frequency(hourly)dataset ranging from 1st June 2018 to 22nd July 2022,we find that(i)good and bad spillovers are time-varying;(ii)bad volatility spillovers are more pronounced than good spillovers;(iii)a strong asymmetry in the volatility spillovers exists in the cryptocurrency market;and(iv)conventional cryptocurrencies dominate Islamic cryptocurrencies.Specifically,Ethereum is the major net transmitter of positive volatility spillovers while Stellar is the main net transmitter of negative volatility spillovers.

关 键 词：Cryptocurrencies TVP-VAR Dynamic connectedness Asymmetric connectedness Volatility spillovers 

分 类 号：F22[经济管理—国民经济]