**5. Concluding Remarks**

Analysis of the contagion effect is an important instrument to observe how certain financial assets are related after extreme events such as crises or bubbles. Since the study of Forbes and Rigobon (2002), contagion effects have been identified in several markets, causing a wide and interesting debate in the world's financial community. In the present analysis, we adapted this contagion concept to analyze the cryptocurrency market, since this is an important market due to both its financial volume and the growing interest shown in it.

This research identified a contagion effect between Bitcoin returns and the returns of most of the other cryptocurrencies analyzed. The exception is Tether, with no evidence of a significant contagion effect for any time scale. This analysis reveals that this market experienced increasing integration between the main cryptocurrencies after the bubble that occurred in December 2017.

Our results provide important information for current and potential investors when analyzing financial risk in the cryptocurrency market. In fact, in constructing portfolios, it could be risky to consider investing in several cryptocurrencies, since they seem to be more highly integrated now than in the past (although Mensi et al. (2019) identified the possibility of diversification using cryptocurrencies). Moreover, and considering that other recent studies identified linkages between this particular market and other assets, this may also affect the possibility of diversification. In fact, the possibility of increased integration between markets, in addition to the cryptocurrency market, is an important issue for future research so as to continuously monitor the possibility of using several markets and assets for diversification purposes. Moreover, the possibility of conducting this analysis with time-varying approaches is also a challenge for future research, which could provide historical information about the evolution of these relationships.

**Author Contributions:** Conceptualization, P.F. and É.P.; methodology, P.F. and É.P.; software, P.F. and É.P.; formal analysis, P.F. and É.P.; investigation, P.F. and É.P.; data curation, P.F. and É.P.; writing—original draft preparation, P.F. and É.P.; writing—review and editing, P.F. and É.P.

**Funding:** Paulo Ferreira is pleased to acknowledge financial support from Fundação para a Ciência e a Tecnologia (grant number UID/ECO/04007/2019). Éder Pereira is pleased to acknowledge financial support from Fundação de Amparo e Pesquisa do Estado da Bahia—FAPESB (grant number BOL 0261/2017).

**Conflicts of Interest:** The authors declare no conflict of interest. *J. Risk Financial Manag.* **2019**, *12*, 115
