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Cryptocurrency Momentum and VIX premium

Author

Listed:
  • Chang, Hsuan-Ling
  • Nie, Wei-Ying
  • Chang, Li-Han
  • Cheng, Hung-Wen
  • Yen, Kuang-Chieh

Abstract

The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market. In this paper, we investigate whether VIX, VIX premium (Cheng, 2019), or economic policy uncertainty (EPU) can predict changes in cryptocurrency momentum premiums. The empirical analysis indicates that higher VIX premiums can increase the one-month-ahead momentum premium, and that VIX and EPU levels are not predictors of momentum premiums. Overall, we demonstrate that uncertainty can affect the cryptocurrency momentum premium through VIX futures rather than VIX itself or news-based information (i.e., EPU).

Suggested Citation

  • Chang, Hsuan-Ling & Nie, Wei-Ying & Chang, Li-Han & Cheng, Hung-Wen & Yen, Kuang-Chieh, 2023. "Cryptocurrency Momentum and VIX premium," Finance Research Letters, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005688
    DOI: 10.1016/j.frl.2023.104196
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrencies; Momentum; VIX; Economic policy uncertainty;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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