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Co-explosivity in the cryptocurrency market

2018; Elsevier BV; Volume: 29; Linguagem: Inglês

10.1016/j.frl.2018.07.005

1544-6123

Elie Bouri, Syed Jawad Hussain Shahzad, David Roubaud,

Financial Markets and Investment Strategies

Most of the limited evidence on the exponential price spikes (i.e. price explosivity) in the cryptocurrency market mainly considers the case of Bitcoin, although other cryptocurrencies have gradually eroded Bitcoin's dominance. Importantly, none has been documented as to whether explosivity periods in cryptocurrencies are contemporaneously related. Accordingly, we date-stamp price explosivity in leading cryptocurrencies and reveal that all cryptocurrencies investigated herein were characterised by multiple explosivity. Then, we determine whether explosivity in one cryptocurrency can lead to explosivity in other cryptocurrencies. Results show evidence of a multidirectional co-explosivity behaviour that is not necessarily from bigger to smaller and younger markets.