Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Abstract

This study examines the volatility spillovers in four representative exchanges and for six liquid cryptocurrencies. Using the high-frequency trading data of exchanges, the heterogeneity of exchanges in terms of volatility spillover can be examined dynamically in the time and frequency domains. We find that Ripple is a net receiver on Coinbase but acts as a net contributor on other exchanges. Bitfinex and Binance have different net spillover effects on the six cryptocurrency markets. Finally, we identify the determinants of total connectedness in two types of volatility spillover, which can explain cryptocurrency or exchange interlinkage.