Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets

This paper is the first to fully characterize the relationship among cross-market Bitcoin prices to provide a complete picture of directional predictability of Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.