Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2134901
Is there any correlation between digital currency price fluctuation? Based on the DCC-GARCH and wavelet coherence analysis
Song Jiang
Jie Zhou
Shuang Qiu
Sažetak
The existing studies rarely reveal the reasons for the digital currency
price fluctuation from the perspective of internal interaction and
contagion. Therefore, to fill this research gap, this paper comprehensively
adopts the dynamic conditional correlation (DCC-) GARCH
model and wavelet coherence analysis (WTC) to reveal the internal
correlation and formation reasons of digital currency price fluctuations.
Our research has the following findings: (1) the price fluctuations
of digital currency are highly related. Through the observation
of the dynamic conditional correlation coefficient graph, it is found
that the price fluctuations have a strong time-varying trend, manifested
as a ‘contagious’ characteristic. (2) During the outbreak of
COVID-19, most digital currencies have shown positive resonance in
the short, medium, and long term, suggesting that the COVID-19
pandemic has increased the correlation and contagion of digital currency
price fluctuations. (3) In the short term, Bitcoin is the main
‘contagious source’ of digital currency price fluctuation. But in the
medium and long term, Ethereum and Ripple, which are closely
related to the real economy, have a greater impact and become the
new ‘contagious source’. Generally speaking, Bitcoin, Ethereum, and
Ripple are the internal causes of instability in the digital currency
market. Finally, based on the empirical conclusion, this paper proposes
that the digital currency portfolio should be optimized to
meet the investment demand; strengthen digital currency regulatory
cooperation, and improve regulatory efficiency. Let the digital currency
return to the ‘currency’ attribute and serve the real economy
Ključne riječi
Digital currency; price fluctuation; correlation; contagion; DCC-GARCH model; wavelet coherence analysis
Hrčak ID:
306685
URI
Datum izdavanja:
30.4.2023.
Posjeta: 170 *