The relationship between implied volatility and cryptocurrency returns

【Author】 Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian; Sensoy, Ahmet; Yarovaya, Larisa

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.

【Keywords】Cryptocurrencies; Volatility; VIX; VSTOXX; GARCH; DCC-GARCH

【发表时间】2020 MAR

【收录时间】2022-01-02

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