Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps

【Author】 Xu, Fang; Bouri, Elie; Cepni, Oguzhan

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine whether the occurrence of jumps in the return of major cryptocurrencies increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US companies. We use two criteria to identify the US stocks with blockchain and cryptocurrency exposure; i) text search and ii) membership in the blockchain indices. We first detect that both asset classes are subject to jump behaviour. Then, we employ logistic regressions and show that the occurrence of jumps in some cryptocurrencies increases the probability of jumps in several blockchain and crypto-exposed companies. The co-jumping behaviour is not affected by the COVID-19 outbreak.

【Keywords】Block chain and crypto-exposed companies; Cryptocurrencies; Jumps and co-jumps; GARCH-based model; COVID-19 outbreak

【发表时间】2022 DEC

【收录时间】2022-11-03

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币