Cryptocurrency Momentum and VIX premium

【Author】 Chang, Hsuan-Ling; Nie, Wei-Ying; Chang, Li-Han; Cheng, Hung-Wen; Yen, Kuang-Chieh

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market. In this paper, we investigate whether VIX, VIX premium (Cheng, 2019), or economic policy uncertainty (EPU) can predict changes in cryptocurrency momentum premiums. The empirical analysis indicates that higher VIX premiums can increase the one-month-ahead momentum premium, and that VIX and EPU levels are not predictors of momentum premiums. Overall, we demonstrate that uncertainty can affect the cryptocurrency momentum premium through VIX futures rather than VIX itself or news-based information (i.e., EPU).

【Keywords】Cryptocurrencies; Momentum; VIX; Economic policy uncertainty

【发表时间】2023 NOV

【收录时间】2023-08-21

【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