Are cryptocurrencies affected by their asset class movements or news announcements?

dc.contributor.author Gurrib, Ikhlaas
dc.contributor.author Kweh, Qian Long
dc.contributor.author Nourani, Mohammad
dc.contributor.author Ting, Irene Wei Kiong
dc.date.accessioned 2021-03-24T09:54:24Z
dc.date.available 2021-03-24T09:54:24Z
dc.date.copyright © 2019
dc.date.issued 2019
dc.description This article is not available at CUD collection. The version of scholarly record of this article is published in Malaysian Journal of Economic Studies (2019), available online at: https://doi.org/10.22452/MJES.vol56no2.2 en_US
dc.description.abstract This study analyses whether returns of top market capitalised cryptocurrencies are affected by their movements or major global macroeconomic news. Daily data are collected for the leading 10 cryptocurrencies from July 2017-December 2018. This study, (i) tests whether lagged variables can help predict other variables' returns through a vector autoregression (VAR) model, (ii) analyses the response of cryptocurrencies to one standard deviation shock on Bitcoin's returns, and (iii) decomposes factors that contribute to variance and tests for structural breaks. Findings show that most cryptocurrencies do not significantly affect other variances, except for Monero, which represented between 19% and 45% of the variances of five cryptocurrencies. Autoregressive (AR) models are superior in forecasting one day ahead return forecasts, compared to the VAR model, whereas the random walk (RW) model ranked last. Although remarkable structural breaks are observed via impulse response functions during December 2017-January 2018, no major news announcements were released on the same day the breaks occurred. Overall, this study suggests the need for high-frequency cryptocurrency prices to tackle the issue of the relationship between intraday news release and cryptocurrencies. © 2019 Malaysian Economic Association. All rights reserved. en_US
dc.identifier.citation Gurrib, I., Kweh, Q., Nourani, M., & Ting, I. (2019). Are Cryptocurrencies Affected by Their Asset Class Movements or News Announcements?. Malaysian Journal Of Economic Studies, 56(2), 201-225. https://doi.org/10.22452/MJES.vol56no2.2 en_US
dc.identifier.issn 15114554
dc.identifier.uri https://doi.org/10.22452/MJES.vol56no2.2
dc.identifier.uri http://hdl.handle.net/20.500.12519/362
dc.language.iso en en_US
dc.publisher Malaysian Economic Association en_US
dc.relation Author Affiliations : Gurrib, I., Faculty of Management, Canadian University Dubai, P.O. Box 117781, 1st Interchange, Sheikh Zayed Road, Dubai, United Arab Emirates; Kweh, Q.L., Faculty of Management, Canadian University Dubai, P.O. Box 117781, 1st Interchange, Sheikh Zayed Road, Dubai, United Arab Emirates; Nourani, M., School of Management, Universiti Sains Malaysia, Penang, 11800, Malaysia; Ting, I.W.K., Faculty of Industrial Management, Universiti Malaysia Pahang, Gambang, Pahang, 26300, Malaysia
dc.relation.ispartofseries Malaysian Journal of Economic Studies;Volume 56, Issue 2
dc.rights Permission to reuse abstract has been secured from Malaysian Economic Association.
dc.rights.holder Copyright : © 2019 Malaysian Economic Association. All rights reserved.
dc.subject Cryptocurrency en_US
dc.subject Impulse response en_US
dc.subject News announcements en_US
dc.subject Structural break en_US
dc.subject VAR en_US
dc.title Are cryptocurrencies affected by their asset class movements or news announcements? en_US
dc.type Article en_US
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