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

• Main Authors: Gurrib, Ikhlaas, Kweh, Qian Long, Nouranic, Mohammad, Irene, Wei Kiong Ting
• Format: Article
• Language: English
• Published: University of Malaya 2019
• Subjects: HB Economic Theory; HD28 Management. Industrial Management
• Online Access: http://umpir.ump.edu.my/id/eprint/28370/1/Are%20Cryptocurrencies%20Affected%20by%20Their%20Asset.pdf; http://umpir.ump.edu.my/id/eprint/28370/; https://doi.org/10.22452/MJES.vol56no2.2; https://doi.org/10.22452/MJES.vol56no2.2

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 predic...