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Cryptocurrency systematic risk dynamics

Author

Listed:
  • Doan, Bao
  • Jayasuriya, Dulani
  • Lee, John B.
  • Reeves, Jonathan J.

Abstract

In this study, we analyze systematic risk associated with the two leading cryptocurrencies - Bitcoin and Ethereum, from 2015 to 2023. Our findings show a significant escalation in the systematic risk levels, with beta estimates rising from 0.032 to 0.834 for Bitcoin, and from 0.087 to 1.003 for Ethereum. This hike in risk levels has dramatically reduced the diversification benefits of cryptocurrency that were documented in prior studies. In addition, we also identify increased autocorrelation of cryptocurrency systematic risk.

Suggested Citation

  • Doan, Bao & Jayasuriya, Dulani & Lee, John B. & Reeves, Jonathan J., 2024. "Cryptocurrency systematic risk dynamics," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002726
    DOI: 10.1016/j.econlet.2024.111788
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Ethereum; Realized Betas;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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