Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

Zhang, Lei; Bouri, Elie; Chen, Yan

doi:10.1016/j.frl.2023.104372

Finance Research Letters

2023

DOI: 10.1016/j.frl.2023.104372

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Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

Lei Zhang,

Elie Bouri,

Yan Chen

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2024

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Cited by 10 publications

References 38 publications

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Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

Zhang,

Chen,

Bouri

2024

Journal of Futures Markets

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This paper examines the co‐jump transmission in 20 commodity futures returns in the United States using co‐jump network models. Specifically, it reveals co‐jumping behavior in both static and time‐varying settings, considering the overall commodity markets and various commodity groups separately, which helps us understand the dynamic changes in co‐jump dependencies at the overall and sector levels. The main results reveal that co‐jump heterogeneity exists among commodities but is generally more apparent within each commodity group, and co‐jumps vary over time. Gold exerts the strongest influence, with many commodity futures being influenced by the jumps behavior in gold returns. During the COVID‐19 outbreak and the Russia–Ukraine war, the energy group ranks highest in terms of co‐jump network centrality. Our empirical analysis highlights the portfolio performance and risk reduction, and an additional examination shows that centrality information from the co‐jump network contains a highly and statistically forecasting power for US stock market volatility.

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Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

Zhang,

Chen,

Bouri

2024

Journal of Futures Markets

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Economic policy uncertainty and the Kimchi premium in the cryptocurrency market

Cho,

Lee

2024

Southern Economic Journal

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We construct a new daily measure of uncertainty about economic policy for Korea. The economic policy uncertainty (EPU) index is extracted from the reporting about economic policy in major Korean newspapers. We then investigate how daily EPU affects the Kimchi premium, which is the ratio of the Bitcoin price in Korea to that in the United States, adjusted for the exchange rate. Our findings indicate that an increase in Korea's EPU makes Bitcoin more expensive in Korea, while the U.S. dollar strengthens against the Korean won. The stronger appreciation of the U.S. dollar outweighs the increase in Bitcoin prices, thereby lowering the Kimchi premium. Similarly, an increase in U.S. EPU has comparable but weaker effects. The appreciation of the U.S. dollar almost entirely offsets the higher relative price of Bitcoin in Korea, resulting in no significant impact on the Kimchi premium from changes in U.S. EPU. In addition, the results suggest that the Kimchi premium tends to rise with increased trading volume in Korea but decreases as trading volume increases in the United States. We also document that while the Kimchi premium is positively associated with Bitcoin price volatility in Korea, it is not significantly related to that in the United States.

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Assessing the Risk of Bitcoin Futures Market: New Evidence

Dutta

2024

Ann. Data. Sci.

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The main objective of this paper is to forecast the realized volatility (RV) of Bitcoin futures (BTCF) market. To serve our purpose, we propose an augmented heterogenous autoregressive (HAR) model to consider the information on time-varying jumps observed in BTCF returns. Specifically, we estimate the jump-induced volatility using the GARCH-jump process and then consider this information in the HAR model. Both the in-sample and out-of-sample analyses show that jumps offer added information which is not provided by the existing HAR models. In addition, a novel finding is that the jump-induced volatility offers incremental information relative to the Bitcoin implied volatility index. In sum, our results indicate that the HAR-RV process comprising the leverage effects and jump volatility would predict the RV more precisely compared to the standard HAR-type models. These findings have important implications to cryptocurrency investors.

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Co-jump dynamicity in the cryptocurrency market: A network modelling perspective

Cited by 10 publications

References 38 publications

Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

Economic policy uncertainty and the Kimchi premium in the cryptocurrency market

Assessing the Risk of Bitcoin Futures Market: New Evidence

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