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“Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet
The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer en...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7434496/ http://dx.doi.org/10.1016/j.najef.2020.101277 |
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author | Huynh, Toan Luu Duc Nasir, Muhammad Ali Vo, Xuan Vinh Nguyen, Thong Trung |
author_facet | Huynh, Toan Luu Duc Nasir, Muhammad Ali Vo, Xuan Vinh Nguyen, Thong Trung |
author_sort | Huynh, Toan Luu Duc |
collection | PubMed |
description | The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer entropy. Our results suggest that among different types of cryptos, Bitcoin is still the most appropriate instrument for hedging, while Tether (USDT) which have a strong anchor with the US dollar is significantly volatile. Interestingly, we document that the small coins are more likely to be shock creators in the cryptocurrency market. Using the same approach, we further explored the link between gold prices and cryptocurrency prices. The results show that gold could be a good hedging instrument for cryptocurrencies due to its independence. In light of empirical results, it is advisable to carefully consider the coins with small capitalization. Further, investors should conduct portfolio rebalancing by including gold to hedge against the unexpected movement in the cryptocurrency market. Our paper not only contributes in terms of the application of advanced empirical methodology but also provides evidence on idiosyncratic features of the cryptocurrency market. |
format | Online Article Text |
id | pubmed-7434496 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-74344962020-08-19 “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet Huynh, Toan Luu Duc Nasir, Muhammad Ali Vo, Xuan Vinh Nguyen, Thong Trung The North American Journal of Economics and Finance Article The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer entropy. Our results suggest that among different types of cryptos, Bitcoin is still the most appropriate instrument for hedging, while Tether (USDT) which have a strong anchor with the US dollar is significantly volatile. Interestingly, we document that the small coins are more likely to be shock creators in the cryptocurrency market. Using the same approach, we further explored the link between gold prices and cryptocurrency prices. The results show that gold could be a good hedging instrument for cryptocurrencies due to its independence. In light of empirical results, it is advisable to carefully consider the coins with small capitalization. Further, investors should conduct portfolio rebalancing by including gold to hedge against the unexpected movement in the cryptocurrency market. Our paper not only contributes in terms of the application of advanced empirical methodology but also provides evidence on idiosyncratic features of the cryptocurrency market. Elsevier Inc. 2020-11 2020-08-18 /pmc/articles/PMC7434496/ http://dx.doi.org/10.1016/j.najef.2020.101277 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Huynh, Toan Luu Duc Nasir, Muhammad Ali Vo, Xuan Vinh Nguyen, Thong Trung “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title | “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title_full | “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title_fullStr | “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title_full_unstemmed | “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title_short | “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet |
title_sort | “small things matter most”: the spillover effects in the cryptocurrency market and gold as a silver bullet |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7434496/ http://dx.doi.org/10.1016/j.najef.2020.101277 |
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