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Do Bitcoin and other cryptocurrencies jump together?

2019; Elsevier BV; Volume: 76; Linguagem: Inglês

10.1016/j.qref.2019.09.003

1878-4259

Elie Bouri, David Roubaud, Syed Jawad Hussain Shahzad,

Market Dynamics and Volatility

We detect the presence of jumps in the return series of 12 cryptocurrencies and find significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin. We also examine whether cryptocurrencies’ returns jump together and the results of various analyses show evidence of co-jumping behaviour, except for a few cases (Ripple and Bytecoin). These results suggest that the presence of jumps in one cryptocurrency increases the probability of inducing a jump in other cryptocurrencies. However, co-jumping is joint with a jumping activity in trading volume. This later result highlights the importance of jumps in trading volume to the formation of jumps in cryptocurrencies, confirming earlier findings on the importance of trading volume to the volatility of cryptocurrencies.