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Bitcoin Halving and Cryptocurrency Spillover Effect

Purpose - This research investigates the co-movement and information spillover effects in the cryptocurrency market, focusing on Bitcoin halving events. Using the total volatility spillover index developed by Diebold and Yilmaz (2012/2014/2015), the study evaluates the magnitude and direction of information spillovers among Bitcoin, Ethereum, and altcoins. Design/Methodology/Approach - By analyzing data across multiple sub-periods, the study compares volatility spillover effects before and after Bitcoin halving events, and conducts a 52-week moving average analysis to capture long-term patterns in market dynamics. Findings - The results confirm Bitcoin’s dominant role as the primary transmitter of volatility, with Ethereum emerging as a significant transmitter post-halving. Altcoins, in contrast, consistently act as receivers of volatility, with their dependency growing over time. The analysis reveals amplified volatility spillover effects after halving events, particularly highlighting Ethereum’s increased importance following the fourth halving and its ETF launch. Research Implications - These findings emphasize the need for policymakers and investors to monitor Bitcoin halving events closely, as they critically influence market stability and asset interdependencies. The study also highlights Bitcoin and Ethereum’s pivotal roles in shaping cryptocurrency market dynamics, providing a foundation for future research on structural changes and interconnectedness within digital asset markets.