How are Bitcoin forks related to Bitcoin?

Walter Bazán-Palomino

Research output: Contribution to journalArticle in a journalpeer-review

11 Scopus citations

Abstract

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.
Original languageEnglish
Article number101723
JournalFinance Research Letters
Volume40
Early online date17 Aug 2020
DOIs
StatePublished - May 2021

Bibliographical note

Publisher Copyright:
© 2020 Elsevier Inc.

Keywords

  • Bitcoin
  • Bitcoin forks
  • Multivariate volatility models
  • Time-varying correlation index
  • Volatility indexes

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