Bitcoin and Crypto-Mining Stocks : A Quantile Connectedness Approach

This study investigates the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile connectedness approach of Ando, Greenwood-Nimmo, and Shin (2022). We estimate the connectedness (i.e., direction and strength of spillover effects) at the median, extreme lower, and extreme upper quantiles. We find that the system is highly interconnected, with Bitcoin among the net transmitters of the shocks. RIOT and MARA are the major net transmitters, while GREE and NILE are the net receivers of the shocks in the system. The spillover effects are more pronounced during extreme market conditions than normal conditions. Overall, the connectedness of the system has increased over time, with a surge during 2021 when China banned crypto-mining. The extreme and dynamic connectedness found in our paper can help investors to adopt optimal hedging and portfolio allocation strategies and regulators to monitor financial stability and systemic risk