Ethereum synchronicity, upside volatility and Bitcoin crash risk

【Author】 Ma, Yu; Luan, Zhiqian

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The fundamental value of Bitcoin is difficult to evaluate because there is no underlying company or cashflow. Extant literature documented various macro-economic factors and technical factors to price Bitcoin. However, for a highly speculative instrument, investors' behavior plays an important role in asset pricing. This paper incorporates Bitcoin Ethereum synchronicity conditional on upside volatility of Bitcoin as a proxy for the fear of high Bitcoin prices. Empirical results reveal that when upside volatility is high, Ethereum synchronicity exerts a significant positive influence on Bitcoin crash risk.

【Keywords】Bitcoin; Cryptocurrency; Crash risk; Synchronicity; Upside volatility

【发表时间】2022 MAY

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币