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Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps

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  • Xu, Fang
  • Bouri, Elie
  • Cepni, Oguzhan

Abstract

We examine whether the occurrence of jumps in the return of major cryptocurrencies increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US companies. We use two criteria to identify the US stocks with blockchain and cryptocurrency exposure; i) text search and ii) membership in the blockchain indices. We first detect that both asset classes are subject to jump behaviour. Then, we employ logistic regressions and show that the occurrence of jumps in some cryptocurrencies increases the probability of jumps in several blockchain and crypto-exposed companies. The co-jumping behaviour is not affected by the COVID-19 outbreak.

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  • Xu, Fang & Bouri, Elie & Cepni, Oguzhan, 2022. "Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004068
    DOI: 10.1016/j.frl.2022.103201
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    Cited by:

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    6. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
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    More about this item

    Keywords

    Block chain and crypto-exposed companies; Cryptocurrencies; Jumps and co-jumps; GARCH-based model; COVID-19 outbreak;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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