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Benjamin Blau, Todd Griffith and Ryan Whitby
''Comovement in the Cryptocurrency Market''
( 2020, Vol. 40 No.1 )
This study examines the comovement between 17 of the most active cryptocurrencies. We are unable to statistically reject the presence of perfect comovement between Bitcoin and six of the 16 non-Bitcoin cryptocurrencies. Consistent with the friction-based explanation for the presence of comovement, once the CBOE introduced futures contracts on Bitcoin, we find that all 16 cryptocurrencies comove with Bitcoin. These results suggest that introducing futures contracts improves the informational environment of the entire cryptocurrency market, which helps explain the unusual comovement in the cryptocurrency market.
Keywords: Bitcoin, Cryptocurrency, Markets, Comovement, Futures Markets
D4 - Market Structure and Pricing: General
Manuscript Received : Sep 18 2019 Manuscript Accepted : Feb 07 2020

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