Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174222
Authors: 
Kurka, Josef
Year of Publication: 
2017
Series/Report no.: 
IES Working Paper 29/2017
Abstract: 
Large stream of literature studies interconnectedness among various assets that are relevant in current global markets. Transmission of shocks between cryptocurrencies and traditional asset classes is, however, not understood at all, but should not be ignored due to increasing influence of cryptocurrencies in recent years. In this paper, we study how shocks between the most liquid representatives of the traditional asset classes including commodities, foreign exchange, stocks, financials, and cryptocurrencies are being transmitted. Generally, we document very low level of connectedness between the main cryptocurrency and other studied assets. The only exception is gold which receives substantial amount of shocks from cryptocurrency market. Our findings are important since we show that cryptocurrencies play role in global markets, and the results could also be useful in portfolio diversification schemes. Moreover, we find significant positive asymmetry in spillovers between the studied assets, which is in contradiction to previous studies conducted on assets from a single asset class.
Subjects: 
cryptocurrencies
volatility
connectedness
asymmetric effects
realized semivariance
JEL: 
C38
C58
E49
Document Type: 
Working Paper

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