TY - JOUR
T1 - Jumps and Cojumps analyses of major and minor cryptocurrencies
AU - Phiromswad, Piyachart
AU - Chatjuthamard, Pattanaporn
AU - Treepongkaruna, Sirimon
AU - Srivannaboon, Sabin
PY - 2021/2
Y1 - 2021/2
N2 - This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.
AB - This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.
UR - http://www.scopus.com/inward/record.url?scp=85100674818&partnerID=8YFLogxK
U2 - 10.1371/journal.pone.0245744
DO - 10.1371/journal.pone.0245744
M3 - Article
C2 - 33534824
AN - SCOPUS:85100674818
SN - 1932-6203
VL - 16
JO - PLoS One
JF - PLoS One
IS - 2 February
M1 - e0245744
ER -