Do financial volatilities mitigate the risk of cryptocurrency indexes?

【Author】 Naeem, Muhammad Abubakr; Lucey, Brian M.; Karim, Sitara; Ghafoor, Abdul

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Cryptocurrencies are renowned for their extreme volatilities, while financial volatilities exhibit inherent uncertainty in stock, oil, gold, and currency markets. Given these concerns, the current study endeavors to answer the question of whether financial volatilities can mitigate the risk of cryptocurrency indexes. We employ the time-varying parameters vector autoregression approach and find distinct spillover patterns between financial volatilities and cryptocurrency indexes. In this way, we stress the diversification benefits of financial volatilities to mitigate the risk of cryptocurrency indexes. Time-varying trends demonstrated extreme risk spillovers during turmoil periods. We outlined useful implications for policymakers, financial market participants, in-vestors, and portfolio managers.

【Keywords】Cryptocurrency Indexes; Financial Volatilities; Risk Mitigation; TVP-VAR

【发表时间】2022 DEC

【收录时间】2022-11-04

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析