Hedging the extreme risk of cryptocurrency

【Author】 Dunbar, Kwamie; Owusu-Amoako, Johnson

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】The attractiveness of crypto investments is highlighted by their Sharpe ratios which are generally higher than that of similarly risky equity returns (MRP). However, this remarkable level of performance comes with significant risk. 1-week Value-at-Risk (VaR) losses indicate that cryptos' potential 1-week losses were far more significant than MRP's. This study provides new evidence showing that MRP is a meaningful diversifier of crypto risks. We also document that MRP reduces the downside risk of risk-averse investors at exactly the time it is needed, such as during periods of elevated levels of economic uncertainty.

【Keywords】Cryptocurrency; Extreme risk; Market risk premium; Down -side risk

【发表时间】2022 NOV

【收录时间】2022-11-10

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测