Causality-in-mean and causality-in-variance among Bitcoin, Litecoin, and Ethereum
Studies in Economics and Finance
ISSN: 1086-7376
Article publication date: 11 April 2021
Issue publication date: 27 July 2021
Abstract
Purpose
This study aims to examine the volatility spillovers between Bitcoin (BTC), Litecoin (LTC) and Ethereum (ETH) as they are related to structural breaks.
Design/methodology/approach
This study examines the daily period from August 7, 2015 to July 10, 2018 by conducting causality-in-mean and causality-in-variance tests among cryptocurrencies.
Findings
The findings showed that there was one-way causality-in-mean from BTC to LTC and ETH, but there was no causality-in-mean from LTC and ETH to BTC. On the other hand, considering the structural breaks included in the variance equations, the estimation results showed that there were short-term causality-in-variance from LTC to BTC and long-term causality-in-variance from BTC to LTC.
Originality/value
This study fills the gap by contributing in two ways. First, to the best of the authors’ knowledge, this is the first study that used the cross-correlation function (CCF) of causality to explore causality-in-variance among cryptocurrencies. Second, this study considers the structural breaks in variance in the return series.
Keywords
Citation
Gemici, E. and Polat, M. (2021), "Causality-in-mean and causality-in-variance among Bitcoin, Litecoin, and Ethereum", Studies in Economics and Finance, Vol. 38 No. 4, pp. 861-872. https://doi.org/10.1108/SEF-07-2020-0251
Publisher
:Emerald Publishing Limited
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