B0299
Title: Dynamic spillover in the cryptocurrency market
Authors: Chih-Chiang Wu - Yuzn Ze University (Taiwan) [presenting]
Wei-Peng Chen - National Taipei University of Technology (Taiwan)
Withz Aimable - Yuan Ze University (Taiwan)
Abstract: Liquidity spillovers are analyzed among the eight largest cryptocurrencies. Empirical results show that Bitcoin is mainly a dominator in the liquidity connectedness in the cryptocurrency market. Furthermore, we show that the total liquidity spillover is positively related to uncertainties of exchange rate and skew index of stock markets. However, it is negatively related to uncertainties of gold market. These results suggest that the US economy uncertainties and the commodity market volatilities are critical determinants and play essential roles in cryptocurrency connectedness. Overall, these determinants are helpful for the decision-making of individual investors, financial institutions, and policymakers to understand the liquidity risk in the crypto market.