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 language | English |
|---|---|
| Article number | 101723 |
| Journal | Finance Research Letters |
| Volume | 40 |
| Early online date | 17 Aug 2020 |
| DOIs | |
| State | Published - May 2021 |
Bibliographical note
Publisher Copyright:© 2020 Elsevier Inc.
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 9 Industry, Innovation, and Infrastructure -
SDG 17 Partnerships for the Goals
Keywords
- Bitcoin
- Bitcoin forks
- Multivariate volatility models
- Time-varying correlation index
- Volatility indexes
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