On the Risk Spillover from Bitcoin to Altcoins: The Fear of Missing Out and Pump-and-Dump Scheme Effects

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at disaggregate level. We apply a frequency connectedness approach to daily data of 11 major cryptocurrencies for period from 1 September 2017 2 March 2022. try uncover existence “fear missing out” psychological effect “pump-and-dump schemes” in crypto markets. To do that, we estimate spillovers altcoin cryptos’ own risk during bull bear The results provide mixed regarding presence this theory cryptocurrencies. However, empirical findings carried out by fully confirm fear-of-missing-out pump-and-dump schemes all except USDT.