A0712
Title: Measuring cryptocurrency price co-movement using a thick pen
Authors: Marc Gronwald - International Business School Suzhou (China)
Sania Wadud - University of Leeds (United Kingdom)
Robert B Durand - Curtin University (Australia)
Yuan Zhao - University of Aberdeen (United Kingdom)
Seungho Lee - University of Aberdeen (United Kingdom) [presenting]
Abstract: Integration of the cryptocurrency markets is measured by using two so-called Thick Pen methods: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). They allow one to capture time-varying co-movement of different cryptocurrency prices as well as co-movement at different time scales; i.e. short-term and long-term features of the price series. A particular strength in this application is the ability to detect instabilities in price relationships. The analysis shows that there is strong co-movement between the price series under consideration. These findings are also critically discussed as cryptocurrencies are characterised by different monetary policies and, thus, are not identical entities.
