Comovement and instability in cryptocurrency markets

We analyze the extent of comovement between daily price returns nine major cryptocurrencies from April 2013 to February 2021. assess its evolution using bivariate and multivariate modeling approaches, detect pronounced time variation. Generally, is initially low positive, but increases substantially early 2017 late 2018 stays high until end sample. then adopt a right-tail version Augmented Dickey–Fuller unit root test identify periods mildly explosive behavior (statistical instability) in Network Value Transactions (NVT) ratio seven cryptocurrencies. The NVT novel measure dollar value cryptocurrency transaction activity relative network value. show evidence significant mild explosiveness all In second half 2019, several experience often simultaneous instability. Instability dominant feature these markets.