Heterogeneity in the volatility spillover of cryptocurrencies and exchanges  

作　　者：Meiyu Wu Li Wang Haijun Yang 

机构地区：[1]School of Economics and Management,Beihang University,No.37 Xueyuan Road,Haidian District,Beijing,100191,China [2]Key Laboratory of Complex System Analysis,Management and Decision,Beihang University,Ministry of Education,Beijing,China

出　　处：《Financial Innovation》2024年第1期1558-1603,共46页金融创新(英文)

基　　金：National Natural Science Foundation of China(Grant no.71771006);Science and Technology Support Plan of Guizhou(Grant no.2023-221).

摘　　要：This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies.Using the high-frequency trading data of exchanges,the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains.We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges.Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets.Finally,we identify the determinants of total connectedness in two types of volatility spillover,which can explain cryptocurrency or exchange interlinkage.

关 键 词：Cryptocurrency Cryptocurrency exchanges Volatility spillover Heterogeneity of volatility spillover 

分 类 号：TP3[自动化与计算机技术—计算机科学与技术]