Risk substitution in cryptocurrencies: Evidence from BRICS announcements

被引：11
作者：
Goodell, John W. [1 ]
Alon, Ilan [5 ]
Chiaramonte, Laura [2 ]
Dreassi, Alberto [3 ]
Paltrinieri, Andrea [4 ]
Pisera, Stefano [6 ]
机构：
[1] Univ Akron, Coll Business, Dept Finance, Akron, OH 44325 USA
[2] Univ Verona, Dept Business Adm, I-37100 Verona, Italy
[3] Univ Trieste, Dept Econ Business Math & Stat, I-34123 Trieste, Italy
[4] Univ Cattolica Sacro Cuore, Dept Econ & Business Adm, I-20123 Milan, Italy
[5] Univ Ariel, Dept Econ & Business Adm, IL-40700 Ariel, Israel
[6] Univ Genoa, Dept Econ, Genoa, Italy
来源：
EMERGING MARKETS REVIEW | 2023年 / 54卷
关键词：
Bitcoin; Ethereum; Ripple; Litecoin; Cryptocurrencies; BRICS; Emerging markets; Regulatory announcements; FED; MACROECONOMIC NEWS; EXCHANGE-RATES; BITCOIN; VOLATILITY; PRICES;
D O I：
10.1016/j.ememar.2022.100938
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the impact of BRICS regulatory announcements on cryptocurrency volatilities and returns. Results evidence risk substitutions after announcements moving from ETH, XRP and LTC to BTC and vice versa, with BTC having volatility reactions to regulatory announcements that differ from those of other cryptocurrencies. Bootstrap quantile regression indicates a stronger detrimental impact of announcements when BTC is currently manifesting lower volatility and higher daily returns. Robustness checks confirm our findings, as well as evidence that the cryp-tocurrencies in our sample are considerably more reactive to BRICS announcements than US Fed announcements, suggesting important linkages between emerging markets and cryptocurrencies.
引用
收藏
页数：17
相关论文
共 54 条
  • [1] What can explain the price, volatility and trading volume of Bitcoin?
    Aalborg, Halvor Aarhus
    Molnar, Peter
    de Vries, Jon Erik
    [J]. FINANCE RESEARCH LETTERS, 2019, 29 : 255 - 265
  • [2] Aggarwal P., 2020, BRICS J EC, V1, P54
  • [3] Tail risk measurement in crypto-asset markets
    Ahelegbey, Daniel Felix
    Giudici, Paolo
    Mojtahedi, Fatemeh
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 73
  • [4] Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets
    Al-Yahyaee, Khamis Hamed
    Mensi, Walid
    Yoon, Seong-Min
    [J]. FINANCE RESEARCH LETTERS, 2018, 27 : 228 - 234
  • [5] Low frequency effects of macroeconomic news on government bond yields
    Altavilla, Carlo
    Giannone, Domenico
    Modugno, Michele
    [J]. JOURNAL OF MONETARY ECONOMICS, 2017, 92 : 31 - 46
  • [6] [Anonymous], 2016, Games, DOI [10.3390/g7030016, DOI 10.3390/G7030016]
  • [7] [Anonymous], 2017, CRYPTOCURRENCY REACT
  • [8] Turkish currency crisis - Spillover effects on European banks
    Arbaa, Ofer
    Varon, Eva
    [J]. BORSA ISTANBUL REVIEW, 2019, 19 (04) : 372 - 378
  • [9] Auer R., 2018, BIS Q REV
  • [10] Can volume predict Bitcoin returns and volatility? A quantiles-based approach
    Balcilar, Mehmet
    Bouri, Elie
    Gupta, Rangan
    Roubaud, David
    [J]. ECONOMIC MODELLING, 2017, 64 : 74 - 81
123456