Cryptocurrency systematic risk dynamics

被引：0
|
作者：
Doan, Bao [1 ]
Jayasuriya, Dulani [2 ]
Lee, John B. [2 ]
Reeves, Jonathan J. [3 ]
机构：
[1] RMIT Univ, Dept Econ & Finance, Ho Chi Minh City, Vietnam
[2] Univ Auckland, Dept Accounting & Finance, Auckland, New Zealand
[3] Univ New South Wales, UNSW Business Sch, Sydney, Australia
来源：
ECONOMICS LETTERS | 2024年 / 241卷
关键词：
Bitcoin; Ethereum; Realized Betas;
D O I：
10.1016/j.econlet.2024.111788
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this study, we analyze systematic risk associated with the two leading cryptocurrencies - Bitcoin and Ethereum, from 2015 to 2023. Our findings show a significant escalation in the systematic risk levels, with beta estimates rising from 0.032 to 0.834 for Bitcoin, and from 0.087 to 1.003 for Ethereum. This hike in risk levels has dramatically reduced the diversification benefits of cryptocurrency that were documented in prior studies. In addition, we also identify increased autocorrelation of cryptocurrency systematic risk.
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页数：4
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