Nonlinear relationship between cryptocurrency returns and price sensitivity to market uncertainty

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-08-31 DOI:10.1016/j.frl.2024.106016

引用次数: 0

Abstract

This paper examines the relationship between cryptocurrency returns and price sensitivity to unexpected changes in market uncertainty, as measured by U.S. stock market volatility, from June 2018 to February 2023. Cryptocurrencies with intermediate uncertainty risk earn a risk-adjusted weekly return of 5.73% higher than those with low and high uncertainty risk, after controlling for market, size, reversal, and liquidity factors, demonstrating the non-linearity between cryptocurrency returns and VIX betas. Overpaying for lottery-like cryptocurrencies lowers expected returns, further explaining this nonlinear relationship. The relationship remains robust using (1) two-pass cross-sectional regression, (2) various quantile portfolios, and (3) alternative risk factors.

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加密货币收益与价格对市场不确定性的敏感性之间的非线性关系

本文研究了 2018 年 6 月至 2023 年 2 月期间加密货币回报率与价格对市场不确定性意外变化的敏感性之间的关系，市场不确定性由美国股市波动率衡量。在控制了市场、规模、反转和流动性因素后，具有中等不确定性风险的加密货币获得的风险调整后周回报率比具有低和高不确定性风险的加密货币高出 5.73%，这表明加密货币回报率与 VIX betas 之间存在非线性关系。对类似彩票的加密货币支付过高会降低预期收益，从而进一步解释了这种非线性关系。使用（1）双通道横截面回归、（2）各种量化投资组合和（3）替代风险因素，这种关系仍然是稳健的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance