EFEKT ZARAŻANIA NA RYNKU KRYPTOWALUT
CONTAGION EFFECT ON THE CRYPTOCURRENCY MARKET
Author(s): Anna Siwek-SkrzypekSubject(s): Business Economy / Management, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Cryptocurrency; cryptocurrency market; VAR-DCC-GARCH model; contagion effect; global factor;
Summary/Abstract: The aim of this paper was to answer two questions: whether the contagion effect occured in the cryptocurrency market after the shock of the 5 th of January 2018 and whether the price changes observed for Bitcoin had an impact on other examined cryptocurrencies. This paper examined whether adding external factors affected the cryptocurrency market. Data used in this article were from the turn of 2017 and 2018. In addition, the VAR-DCCGARCH model was employed for research purposes. Above all, this paper argued that contagion effect did occur in the market analysed. Secondly, the decreases recorded for Bitcoin cryptocurrency indeed caused price drops for other cryptocurrencies examined.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIX/2018
- Issue No: 2
- Page Range: 162-170
- Page Count: 9
- Language: Polish