Centro de Documentação da PJ

SANTOS, Mariana Isabel Jinga Serôdio
Cryptocurrency rollercoaster [Recurso eletrónico] : volatility patterns and market dynamics in positive and negative events / Mariana Isabel Jinga Serôdio Santos.- Lisboa : [s.n.], 2023.- 1 CD-ROM ; 12 cm
Tese de Mestrado em Estatística e Gestão da Informação apresentada ao Instituto Superior de Estatística e Gestão de Informação da Universidade Nova de Lisboa, tendo como orientador Bruno Miguel Pinto Damásio. Ficheiro de 1,57 MB em formato PDF (26 p.).


Cryptocurrencies have gained considerable attention in financial research in recent years. This investigation focused on analysing the volatility dynamics and the impact of both positive and negative events across cryptocurrency markets, high-market and low-market. Employing the bivariate BEKK-MGARCH model, the research aims to identify how cross-market volatility shocks and volatility transmissions range between these markets. The analysis of individual cryptocurrency markets reveals a price volatility dependency on their historical shocks and volatility. Based on the findings, most of the cryptocurrency pairs exhibit uni-directional transmission, either in terms of shock impact or volatility effects. Notably, there is a stronger indication of volatility transmission from high-market to low-market cryptocurrencies, as opposed to the reverse direction. This implies that the performance of high-market cryptocurrencies exerts influence, either positively or negatively, on low-market. The study also highlights the existence of time-varying conditional correlations, mostly demonstrating a positive relationship. Moreover, the research integrates positive and negative events into the assessment, observing that within the event study conducted on price returns of cryptocurrencies over an eleven-day event window (-5,+5), negative events significantly have more impact on cryptocurrencies. These findings hold valuable implications for investors, particularly highlighting the importance of considering negative cryptocurrency-related events and taking into account the influence of the main digital currencies in the whole cryptocurrency market, serving as a precautionary measure to mitigate potential financial losses.