Risk substitution in cryptocurrencies: Evidence from BRICS announcements

John W. Goodell, Ilan Alon, Laura Chiaramonte, Alberto Dreassi, Andrea Paltrinieri and Stefano Piserà

Emerging Markets Review, 2023, vol. 54, issue C

Abstract: 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 cryptocurrencies in our sample are considerably more reactive to BRICS announcements than US Fed announcements, suggesting important linkages between emerging markets and cryptocurrencies.

Keywords: Bitcoin; Ethereum; Ripple; Litecoin; Cryptocurrencies; BRICS; Emerging markets; Regulatory announcements; FED (search for similar items in EconPapers)
JEL-codes: G11 G15 G18 G19 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553

DOI: 10.1016/j.ememar.2022.100938

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