Risk substitution in cryptocurrencies: Evidence from BRICS announcements

【Author】 Goodell, John W.; Alon, Ilan; Chiaramonte, Laura; Dreassi, Alberto; Paltrinieri, Andrea; Pisera, Stefano

【Source】EMERGING MARKETS REVIEW

【影响因子】4.359

【Abstract】We investigate the impact of BRICS regulatory announcements on cryptocurrency volatilities and returns. Results evidence risk substitutions after announcements moving from ETH, XRP and LTC to BTC and vice versa, with BTC having volatility reactions to regulatory announcements that differ from those of other cryptocurrencies. Bootstrap quantile regression indicates a stronger detrimental impact of announcements when BTC is currently manifesting lower volatility and higher daily returns. Robustness checks confirm our findings, as well as evidence that the cryp-tocurrencies in our sample are considerably more reactive to BRICS announcements than US Fed announcements, suggesting important linkages between emerging markets and cryptocurrencies.

【Keywords】Bitcoin; Ethereum; Ripple; Litecoin; Cryptocurrencies; BRICS; Emerging markets; Regulatory announcements; FED

【发表时间】2023 MAR

【收录时间】2023-06-03

【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