Jumps and Cojumps analyses of major and minor cryptocurrencies

Piyachart Phiromswad; Pattanaporn Chatjuthamard; Sirimon Treepongkaruna; Sabin Srivannaboon

doi:10.1371/journal.pone.0245744

Jumps and Cojumps analyses of major and minor cryptocurrencies

PLoS One. 2021 Feb 3;16(2):e0245744. doi: 10.1371/journal.pone.0245744. eCollection 2021.

Authors

Piyachart Phiromswad¹, Pattanaporn Chatjuthamard¹, Sirimon Treepongkaruna^{1

2}, Sabin Srivannaboon¹

Affiliations

¹ Center of Excellence in Management Research for Corporate Governance and Behavioral Finance, Sasin School of Management, Chulalongkorn University, Bangkok, Thailand.
² UWA Business School, The University of Western Australia, Crawley, WA, Australia.

Abstract

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.

Publication types

Research Support, Non-U.S. Gov't

MeSH terms

Commerce*
Costs and Cost Analysis*
Financial Statements / economics*
Models, Economic*
Risk Management*
Thailand

Grants and funding

Funding Information The research was funded by Chulalongkorn University under the Ratchadapisek Sompoch Endowment Fund (2020) through Collaborating Centre for Labor Research at Chulalongkorn University (CU-Collar) (763008) and Center of Excellence in Management Research for Corporate Governance and Behavioral Finance. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.