Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets

Bekiros, Stelios D., Hedström, Axel, Jayasekera, Evgeniia, Mishra, Tapas and Uddin, Gazi Salah (2020) Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets. Computational Economics. ISSN 0927-7099 (In Press)

Full text not available from this repository.

Abstract

This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.

Item Type:	Article
Subjects:	Q Science > QA Mathematics > Computer software T Technology > T Technology (General) > Information Technology > Computer software H Social Sciences > HG Finance > Investment
Divisions:	School of Computing > Staff Research and Publications
Depositing User:	Dan English
Date Deposited:	09 Nov 2020 15:59
Last Modified:	09 Nov 2020 15:59
URI:	https://norma.ncirl.ie/id/eprint/4353

Actions (login required)

View Item