Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

【Author】 Brini, Alessio; Lenz, Jimmie

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】By analyzing a large cross-section of cryptocurrencies, we document the absence of the leverage effect in this market. Unlike the equity market, investors exhibit less panicking behavior and appear indifferent to negative returns in terms of market participation. Moreover, the negative asymmetric effect is reverted for some cryptocurrencies in our dataset, showing the investors' fear of missing out. Our results are robust over different leverage effect models and historical time windows.(c) 2022 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Leverage effect; Volatility; Market crash

【发表时间】2022 NOV

【收录时间】2022-11-15

【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