The impact of central bank digital currency variation on firm's implied volatility

【Author】 Lee, Chien-Chiang; Wang, Chih-Wei; Hsieh, Hsin-Yi; Chen, Wen-Ling

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】The paper investigates whether a firm's implied volatility is affected by the volatility of central bank digital currencies. Our sample covers 2853 listed companies in the United States from 2014 to 2018. First, we find the variation of central bank digital currency has a positive impact on a firm's implied volatility. Second, the healthier firms' conditions can reduce the relationship be-tween central bank digital currency variation and a firm's implied volatility. Third, the positive relation between central bank digital currency and firm's implied volatility still exists in investment-grade, speculative-grade, and unrated firms. Finally, to eliminate the endogeneity problem, we adopt simultaneous equation models (SEM) and find our results are still robust after excluding endogenous concerns. Our research provides a reminder for corporate managers and new implications for policymakers.

【Keywords】Central bank digital currency; Implied volatility; Simultaneous equation models

【发表时间】2023 JAN

【收录时间】2023-02-27

【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