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Understanding the transmission of crash risk between cryptocurrency and equity markets

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  • Peng‐Fei Dai
  • John W. Goodell
  • Luu Duc Toan Huynh
  • Zhifeng Liu
  • Shaen Corbet

Abstract

We evidence that cryptocurrencies have a higher probability of crashes than equity indices, although such crashes are of shorter duration. Commonality of crash risk between cryptocurrency and equity markets occur in approximately 80% of the periods examined. Further, recently evolved cryptocurrency uncertainty indices are more relevant for predicting co‐crash behavior than economic policy uncertainty. Results are consistent with cryptocurrencies being a growing source of financial instability.

Suggested Citation

  • Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    • Handle: RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573
    DOI: 10.1111/fire.12340
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