Article: How integrated are cryptocurrencies Journal: International Journal of Big Data Management (IJBDM) 2020 Vol.1 No.1 pp.64 - 80 Abstract: The present study focuses on five cryptocurrencies co-movements physiognomies both in time and frequency domain. The present study highlighted several interesting facts related to cryptocurrencies co-movements both in time and frequency domain that have high policy and investment implications. Overall wavelet coherence diagrams clearly indicate about the very short and long contagion effect among the cryptocurrency pairs for the whole study period. The contagion effect is different at different time scales. Finally wavelet clustering diagram indicates that by investing only in XBP and BitCoin cryptocurrencies investors are not going to get any benefit from diversification. This predictable co-movements pattern among the cryptocurrencies could be the basic investment strategies to gain maximum profit by diversifying the risk in cryptocurrency investments. Inderscience Publishers - linking academia, business and industry through research

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Title: How integrated are cryptocurrencies

Authors: Moinak Maiti; Darko Vukovic; Viktor Krakovich; Maneesh Kumar Pandey

Addresses: Department for Finance, St. Petersburg School of Economics and Management, National Research University Higher School of Economics, Kantemirovskaya St. 3A, Sankt Petersburg 194100, Russia ' Department for Finance, St. Petersburg School of Economics and Management, National Research University Higher School of Economics, Kantemirovskaya St. 3A, Sankt Petersburg 194100, Russia ' Department for Finance, St. Petersburg School of Economics and Management, National Research University Higher School of Economics, Kantemirovskaya St. 3A, Sankt Petersburg 194100, Russia ' Department for Finance, St. Petersburg School of Economics and Management, National Research University Higher School of Economics, Kantemirovskaya St. 3A, Sankt Petersburg 194100, Russia

Abstract: The present study focuses on five cryptocurrencies co-movements physiognomies both in time and frequency domain. The present study highlighted several interesting facts related to cryptocurrencies co-movements both in time and frequency domain that have high policy and investment implications. Overall wavelet coherence diagrams clearly indicate about the very short and long contagion effect among the cryptocurrency pairs for the whole study period. The contagion effect is different at different time scales. Finally wavelet clustering diagram indicates that by investing only in XBP and BitCoin cryptocurrencies investors are not going to get any benefit from diversification. This predictable co-movements pattern among the cryptocurrencies could be the basic investment strategies to gain maximum profit by diversifying the risk in cryptocurrency investments.

Keywords: cryptocurrency; co-movement; XBP; BitCoin; wavelet; wavelet coherence; wavelet clustering; diversification; investment decision.

DOI: 10.1504/IJBDM.2020.106874

International Journal of Big Data Management, 2020 Vol.1 No.1, pp.64 - 80

Received: 07 Feb 2019
Accepted: 28 May 2019
Published online: 24 Apr 2020 *

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Title: How integrated are cryptocurrencies

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