Center of Excellence in Management Research for Corporate Governance and Behavioral Finance, Sasin School of Management, Chulalongkorn University, Bangkok, Thailand.
UWA Business School, The University of Western Australia, Crawley, WA, Australia.
PLoS One. 2021 Feb 3;16(2):e0245744. doi: 10.1371/journal.pone.0245744. eCollection 2021.
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.
本文实证检验了主要和次要加密货币的跳跃和共同跳跃。了解它们的跳跃和共同跳跃的性质在风险管理、资产配置和衍生品定价中起着重要作用。我们发现所有加密货币都显示出显著的跳跃。此外，与主要加密货币相比，次要加密货币的跳跃强度和跳跃幅度似乎明显更高。最后，我们发现泰国股票市场指数和次要加密货币的共同跳跃强度大于主要加密货币的共同跳跃强度。
