Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
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Title
Crypto-environment network connectivity and Bitcoin returns distribution tail behaviourDate
2022-07-21Publisher
ElsevierBibliographic citation
CAFERRA, Rocco; MORONE, Andrea; POTÌ, Valerio. Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour. Economics Letters, 2022, vol. 218, p. 110734.Type
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/publishedVersionSubject
Abstract
This study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network conne ... [+]
This study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional crypto-focused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak. [-]
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Economics Letters, 2022, vol. 218Funder Name
European Union’s Horizon 2020 COST Action | Coordination and Support Action
Project code
CA19130 | 825215
Project title or grant
FinAI: Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry | FIN-TECH: A Financial supervision and Technology compliance training programme
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© 2022 The Authors. Published by Elsevier B.V.
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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