Understanding the transmission of crash risk between cryptocurrency and equity markets-Reference-Cited by-同舟云学术

Understanding the transmission of crash risk between cryptocurrency and equity markets

Published:2023-03-02 Issue:3 Volume:58 Page:539-573
ISSN:0732-8516
Container-title:Financial Review
language:en
Short-container-title:The Financial Review

Author:

Dai Peng‐Fei¹,Goodell John W.²,Huynh Luu Duc Toan³,Liu Zhifeng⁴,Corbet Shaen⁵⁶

Affiliation:

1. School of Management｜Research Institute of Digital Governance and Management Decision Innovation Wuhan University of Technology Wuhan China

2. University of Akron Akron Ohio USA

3. Department of Business Analytics and Applied Economics, School of Business and Management Queen Mary University of London London United Kingdom

4. Management School Hainan University Haikou China

5. DCU Business School Dublin City University Dublin 9 Ireland

6. School of Accounting, Finance and Economics University of Waikato New Zealand

Abstract

AbstractWe 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.

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/fire.12340

Reference115 articles.

1. NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic

2. Are carbon futures prices stable? New evidence during negative oil

3. Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements