“Small things matter most”: The Spillover effects in the cryptocurrency market and Gold as a silver bullet

Toan Luu Duc Huynh, Muhammad Ali Nasir, Xuan Vinh Vo, Thong Trung Nguyen

Research output: Contribution to journalArticlepeer-review

74 Citations (Scopus)


The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer entropy. Our results suggest that among different types of cryptos, Bitcoin is still the most appropriate instrument for hedging, while Tether (USDT) which have a strong anchor with the US dollar is significantly volatile. Interestingly, we document that the small coins are more likely to be shock creators in the cryptocurrency market. Using the same approach, we further explored the link between gold prices and cryptocurrency prices. The results show that gold could be a good hedging instrument for cryptocurrencies due to its independence. In light of empirical results, it is advisable to carefully consider the coins with small capitalization. Further, investors should conduct portfolio rebalancing by including gold to hedge against the unexpected movement in the cryptocurrency market. Our paper not only contributes in terms of the application of advanced empirical methodology but also provides evidence on idiosyncratic features of the cryptocurrency market.
Original languageEnglish
Article number101277
Number of pages12
JournalNorth American Journal of Economics and Finance
Early online date18 Aug 2020
Publication statusPublished - 1 Nov 2020


Dive into the research topics of '“Small things matter most”: The Spillover effects in the cryptocurrency market and Gold as a silver bullet'. Together they form a unique fingerprint.

Cite this