How are Bitcoin forks related to Bitcoin?

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Resumen

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.
Idioma originalInglés
Número de artículo101723
PublicaciónFinance Research Letters
Volumen40
Fecha en línea anticipada17 ago. 2020
DOI
EstadoPublicada - may. 2021

Nota bibliográfica

Funding Information:
I would like to thank Elie Bouri, Kose John, Iftekhar Hasan, Ricardo Mayer, and Diego Winkelried for their insightful comments and suggestions. Also, the comments from three anonymous referees greatly improved the paper. Further, I am grateful to the support of the Editor-in-Chief, Samuel Vigne, and the Senior Editor, Tony Klein.

Publisher Copyright:
© 2020 Elsevier Inc.

Palabras clave

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

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