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Are cryptocurrencies affected by their asset class movements or news announcements?

This study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017–December 2018. This study, (i) tests whether lagged variables can help predic...

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Main Authors: Gurrib, Ikhlaas, Kweh, Qian Long, Nouranic, Mohammad, Irene, Wei Kiong Ting
Format: Article
Language:English
Published: University of Malaya 2019
Subjects:
HB Economic Theory
HD28 Management. Industrial Management
Online Access:http://umpir.ump.edu.my/id/eprint/28370/1/Are%20Cryptocurrencies%20Affected%20by%20Their%20Asset.pdf
http://umpir.ump.edu.my/id/eprint/28370/
https://doi.org/10.22452/MJES.vol56no2.2
https://doi.org/10.22452/MJES.vol56no2.2
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spelling my.ump.umpir.283702022-02-21T02:22:43Z http://umpir.ump.edu.my/id/eprint/28370/ Are cryptocurrencies affected by their asset class movements or news announcements? Gurrib, Ikhlaas Kweh, Qian Long Nouranic, Mohammad Irene, Wei Kiong Ting HB Economic Theory HD28 Management. Industrial Management This study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017–December 2018. This study, (i) tests whether lagged variables can help predict other variables’ returns through a vector autoregression (VAR) model, (ii) analyses the response of cryptocurrencies to one standard deviation shock on Bitcoin’s returns, and (iii) decomposes factors that contribute to variance and tests for structural breaks. Findings show that most cryptocurrencies do not significantly affect other variances, except for Monero, which represented between 19% and 45% of the variances of five cryptocurrencies. Autoregressive (AR) models are superior in forecasting one day ahead return forecasts, compared to the VAR model, whereas the random walk (RW) model ranked last. Although remarkable structural breaks are observed via impulse response functions during December 2017–January 2018, no major news announcements were released on the same day the breaks occurred. Overall, this study suggests the need for high-frequency cryptocurrency prices to tackle the issue of the relationship between intraday news release and cryptocurrencies. University of Malaya 2019 Article PeerReviewed pdf en http://umpir.ump.edu.my/id/eprint/28370/1/Are%20Cryptocurrencies%20Affected%20by%20Their%20Asset.pdf Gurrib, Ikhlaas and Kweh, Qian Long and Nouranic, Mohammad and Irene, Wei Kiong Ting (2019) Are cryptocurrencies affected by their asset class movements or news announcements? Malaysian Journal of Economic Studies, 56 (2). pp. 201-225. ISSN 1511-4554 https://doi.org/10.22452/MJES.vol56no2.2 https://doi.org/10.22452/MJES.vol56no2.2
institution Universiti Malaysia Pahang
building UMP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang
content_source UMP Institutional Repository
url_provider http://umpir.ump.edu.my/
language English
topic HB Economic Theory
HD28 Management. Industrial Management
spellingShingle HB Economic Theory
HD28 Management. Industrial Management
Gurrib, Ikhlaas
Kweh, Qian Long
Nouranic, Mohammad
Irene, Wei Kiong Ting
Are cryptocurrencies affected by their asset class movements or news announcements?
description This study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017–December 2018. This study, (i) tests whether lagged variables can help predict other variables’ returns through a vector autoregression (VAR) model, (ii) analyses the response of cryptocurrencies to one standard deviation shock on Bitcoin’s returns, and (iii) decomposes factors that contribute to variance and tests for structural breaks. Findings show that most cryptocurrencies do not significantly affect other variances, except for Monero, which represented between 19% and 45% of the variances of five cryptocurrencies. Autoregressive (AR) models are superior in forecasting one day ahead return forecasts, compared to the VAR model, whereas the random walk (RW) model ranked last. Although remarkable structural breaks are observed via impulse response functions during December 2017–January 2018, no major news announcements were released on the same day the breaks occurred. Overall, this study suggests the need for high-frequency cryptocurrency prices to tackle the issue of the relationship between intraday news release and cryptocurrencies.
format Article
author Gurrib, Ikhlaas
Kweh, Qian Long
Nouranic, Mohammad
Irene, Wei Kiong Ting
author_facet Gurrib, Ikhlaas
Kweh, Qian Long
Nouranic, Mohammad
Irene, Wei Kiong Ting
author_sort Gurrib, Ikhlaas
title Are cryptocurrencies affected by their asset class movements or news announcements?
title_short Are cryptocurrencies affected by their asset class movements or news announcements?
title_full Are cryptocurrencies affected by their asset class movements or news announcements?
title_fullStr Are cryptocurrencies affected by their asset class movements or news announcements?
title_full_unstemmed Are cryptocurrencies affected by their asset class movements or news announcements?
title_sort are cryptocurrencies affected by their asset class movements or news announcements?
publisher University of Malaya
publishDate 2019
url http://umpir.ump.edu.my/id/eprint/28370/1/Are%20Cryptocurrencies%20Affected%20by%20Their%20Asset.pdf
http://umpir.ump.edu.my/id/eprint/28370/
https://doi.org/10.22452/MJES.vol56no2.2
https://doi.org/10.22452/MJES.vol56no2.2
_version_ 1725972839482261504
score 13.211869

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