Cryptocurrency’s Big Players: How Interconnected Are They?

When / Where: 

Tuesday, October 2nd 16:30-17:30 Room 4.07

Summary

The business and management department invites students and other members of the WVPU community to the Fall 1 faculty presentation of our Research Seminar Series. Please join us for department head Dr. Nikolaos Antonakakis' presentation on his research into cryptocurrency. He will speak about how he became interested in cryptocurrency, the current market, as well as the triumphs and setbacks he has experienced so far in his research on the interconnectedness of the big players in cryptocurrency. As with all of our faculty presentations in this series, students should leave with a better understanding of the research process - its pitfalls, challenges, and rewards. Both undergraduate and graduate students are encouraged to attend.

Abstract

In this study, we employ a TVP-FAVAR connectedness approach in order to investigate the transmission mechanism in the cryptocurrency market. To this end, we concentrate on the top 9 cryptocurrencies by virtue of market capitalization and one market factor -- based on 45 additional digital currencies -- capturing the co-movements in the cryptocurrency market. The period of study spans between August 7, 2015 and May 31, 2018. We find that the dynamic total connectedness across several cryptocurrencies exhibits large dynamic variability ranging between 25% and 75%. In particular, periods of high (low) market uncertainty correspond to strong (weak) connectedness. We show that these results could be explained on the basis of increased market uncertainty that is associated with periods of highly volatile prices. In addition, despite the fact that Bitcoin still influences the cryptcurrency market substantially, we note that, recently, Ethereum has become the number one net transmitting cryptocurrency. We further note that the market gradually becomes more complex considering our connectedness approach and that this might be attributed to the unique characteristics and possibilities inherent in the technology of each cryptocurrency. A simplified application concentrating on bivariate portfolios is indicative of potential hedging opportunities using dynamic hedge ratios and dynamic portfolio weights.

Flyer

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RSVP

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