Peng-Fei Dai, John W. Goodell, Luu Duc Toan Huynh, Zhifeng Liu, Shaen Corbet
{"title":"Understanding the transmission of crash risk between cryptocurrency and equity markets","authors":"Peng-Fei Dai, John W. Goodell, Luu Duc Toan Huynh, Zhifeng Liu, Shaen Corbet","doi":"10.1111/fire.12340","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"58 3","pages":"539-573"},"PeriodicalIF":2.6000,"publicationDate":"2023-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"FINANCIAL REVIEW","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fire.12340","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
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