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Publication
Complex and multifaceted nature of cryptocurrency markets: a study to understand its time-varying volatility dynamics
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Advisor(s)
Abstract(s)
Decentralised Finance (DeFi) provides a new way to perform complex financial transactions by exploiting blockchain's ability to
maintain a decentralised ledger of transactions without being constrained by centralised systems or human intermediaries. DeFi provides
alternative financial instruments that might lessen portfolio risk, especially given the erratic state of the financial markets today. This
study analyses the association between the year of the coin in which it was introduced and the market capitalisation of the respective
companies. Furthermore, the study also tries to understand the volatility associated with cryptocurrencies using EGARCH & GJRGARCH models. The results reveal that market capitalisation is not similar for all three stages of the age of cryptocurrency. Also,
negative news tends to impact Bitcoin more than positive news, and the volatility is persistent and long-lasting. Ethereum, BNB &
Solana see more volatility from absolute past shocks; however, Tether exhibits low but persistent volatility as a stablecoin
Description
Keywords
Decentralised Finance DeFi Cryptocurrency Market Capitalization EGARCH GJR-GARCH
Citation
Agrawal, M., Dias, R., Irfan, M., Galvão, R., & Gonçalves, S.(2024). Complex and Multifaceted Nature of Cryptocurrency Markets: A Study to Understand its Time-Varying Volatility Dynamics. Journal of Ecohumanism, 3(4), 3012–3031. https://doi.org/10.62754/joe.v3i4.3819
