Exploring the dynamic relationships between cryptocurrencies and other financial assets

Corbet, Shaen and Meegan, Andrew and Larkin, Charles and Lucey, Brian and Yarovaya, Larisa (2018) Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165. pp. 28-34. ISSN 0165-1765

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Official URL: https://doi.org/10.1016/j.econlet.2018.01.004

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.

Item Type: Journal Article
Keywords: cryptocurrencies, bitcoin, litecoin, time varying, spillovers
Faculty: Lord Ashcroft International Business School
Depositing User: Ian Walker
Date Deposited: 31 Jan 2018 16:27
Last Modified: 06 Mar 2018 15:23
URI: http://arro.anglia.ac.uk/id/eprint/702693

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