Peng-Fei Dai, John W. Goodell, Luu Duc Toan Huynh, Zhifeng Liu, Shaen Corbet
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Understanding the transmission of crash risk between cryptocurrency and equity markets
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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