On cryptocurrencies as an independent asset class: Long-horizon and COVID-19 pandemic era decoupling from global sentiments

【Author】 Sifat, Imtiaz

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Employing high-dimensional stochastic-volatility commonality tests on crypto-assets against a basket of global investor sentiment proxies, we report new evidence that the cryptocurrency market is decoupled from global sentiments. Our approach's novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indices (CRIX and VCRIX) that permit treating cryptocurrencies as a united pool from 2016 to 2021. Our consolidated findings suggest nugatory association between cryptocurrencies and global risk, risk aversion, and uncertainty. Further COVID-19 resampling reinforces long-horizon results. These findings bolster the growing wave of support for recognizing crypto-assets as an independent asset class.

【Keywords】Cryptocurrency; Bitcoin; Ethereum; Litecoin; COVID-19; Coronavirus; Pandemic; Volatility spillover; Stochastic volatility; Correlation; Spillover

【发表时间】2021 NOV

【收录时间】2022-01-01

【文献类型】

【主题类别】

--