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Cryptocurrency shocks

Author

Listed:
  • Jinan Liu
  • Sajjadur Rahman
  • Apostolos Serletis

Abstract

In this paper, we use a bivariate structural VAR to investigate risk spillovers from the cryptocurrency market to standard financial markets. We investigate the effects of cryptocurrency shocks on key financial markets, including the stock, bond, gold and foreign exchange markets. The results show that cryptocurrency shocks do not have statistically significant effects on standard financial markets except for the bond market. This is consistent with most of the existing literature that argues that cryptocurrencies are mostly a new and different asset class, not related to standard factors.

Suggested Citation

  • Jinan Liu & Sajjadur Rahman & Apostolos Serletis, 2021. "Cryptocurrency shocks," Manchester School, University of Manchester, vol. 89(2), pages 190-202, March.
    • Handle: RePEc:bla:manchs:v:89:y:2021:i:2:p:190-202
    DOI: 10.1111/manc.12354
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    References listed on IDEAS

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    Cited by:

    1. Bennett, Donyetta & Mekelburg, Erik & Williams, T.H., 2023. "BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing," Research in International Business and Finance, Elsevier, vol. 65(C).

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