Exploring the dynamic relationships between cryptocurrencies and other financial assets

Shaen Corbet; Andrew Meegan; Charles Larkin; Brian Lucey; Larisa Yarovaya

doi:10.1016/j.econlet.2018.01.004

Exploring the dynamic relationships between cryptocurrencies and other financial assets

Shaen Corbet, Andrew Meegan, Charles Larkin, Brian Lucey, Larisa Yarovaya

Research output: Contribution to journal › Article › peer-review

882 Citations (SciVal)

Abstract

We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.

Original language	English
Pages (from-to)	28-34
Number of pages	7
Journal	Economics Letters
Volume	165
Early online date	31 Jan 2018
DOIs	https://doi.org/10.1016/j.econlet.2018.01.004
Publication status	Published - 30 Apr 2018

Bibliographical note

cited By 80

Keywords

Bitcoin
Cryptocurrencies
Litecoin
Spillovers
Time varying

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2018.01.004

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044661426&doi=10.1016%2fj.econlet.2018.01.004&partnerID=40&md5=30d6ec62b05f5e49be6b23d5d17c8c3e

Cite this

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abstract = "We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.",

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AU - Corbet, Shaen

AU - Meegan, Andrew

AU - Larkin, Charles

AU - Lucey, Brian

AU - Yarovaya, Larisa

N1 - cited By 80

PY - 2018/4/30

Y1 - 2018/4/30

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AB - We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks.

KW - Bitcoin

KW - Cryptocurrencies

KW - Litecoin

KW - Spillovers

KW - Time varying

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JO - Economics Letters

JF - Economics Letters

ER -

Exploring the dynamic relationships between cryptocurrencies and other financial assets

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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