Are cryptocurrencies becoming more interconnected?

TL;DR

This paper investigates the evolving interconnectedness of cryptocurrencies from 2015 to 2020, revealing increased market linkages in returns and volatility, with implications for financial stability and regulation.

Contribution

It provides a comprehensive analysis of the increasing market linkages among cryptocurrencies over time using multiple methodologies.

Findings

Market linkages in returns and volatility have substantially increased.

Different methodologies confirm the growing interconnectedness.

Implications for financial stability and regulation are discussed.

Abstract

This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the different aspects of market linkages. Financial and regulatory implications are discussed.