TY - JOUR
T1 - How are Bitcoin forks related to Bitcoin?
AU - Bazán-Palomino, Walter
N1 - Publisher Copyright:
© 2020 Elsevier Inc.
PY - 2021/5
Y1 - 2021/5
N2 - This paper studies the interlinkages among Bitcoin and seven Bitcoin forks, which share proof-of-work. To this end, I propose two volatility indexes and one correlation index based on the estimation of three multivariate GARCH models. This study finds that the contribution of the Bitcoin-fork volatility to the market volatility is stronger in the first two months after the occurrence of a fork, and low thereafter. Furthermore, the correlation of Bitcoin with four Bitcoin forks is negative or low during high-volatility times and highly positive during low-volatility times. The other three Bitcoin forks do not show this correlation pattern.
AB - This paper studies the interlinkages among Bitcoin and seven Bitcoin forks, which share proof-of-work. To this end, I propose two volatility indexes and one correlation index based on the estimation of three multivariate GARCH models. This study finds that the contribution of the Bitcoin-fork volatility to the market volatility is stronger in the first two months after the occurrence of a fork, and low thereafter. Furthermore, the correlation of Bitcoin with four Bitcoin forks is negative or low during high-volatility times and highly positive during low-volatility times. The other three Bitcoin forks do not show this correlation pattern.
KW - Bitcoin
KW - Bitcoin forks
KW - Multivariate volatility models
KW - Time-varying correlation index
KW - Volatility indexes
KW - Bitcoin
KW - Bitcoin forks
KW - Multivariate volatility models
KW - Time-varying correlation index
KW - Volatility indexes
UR - https://www.mendeley.com/catalogue/4ffc3818-2015-395d-bc0f-41650225622f/
UR - http://www.scopus.com/inward/record.url?scp=85089901971&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2020.101723
DO - 10.1016/j.frl.2020.101723
M3 - Article in a journal
SN - 1544-6123
VL - 40
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101723
ER -