On cryptocurrencies as an independent asset class: Long-horizon and COVID-19 pandemic era decoupling from global sentiments

Imtiaz Sifat

Finance Research Letters, 2021, vol. 43, issue C

Abstract: Employing high-dimensional stochastic-volatility commonality tests on crypto-assets against a basket of global investor sentiment proxies, we report new evidence that the cryptocurrency market is decoupled from global sentiments. Our approach's novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indices (CRIX and VCRIX) that permit treating cryptocurrencies as a united pool from 2016 to 2021. Our consolidated findings suggest nugatory association between cryptocurrencies and global risk, risk aversion, and uncertainty. Further COVID-19 resampling reinforces long-horizon results. These findings bolster the growing wave of support for recognizing crypto-assets as an independent asset class.

Keywords: Cryptocurrency; Bitcoin; Ethereum; Litecoin; COVID-19; Coronavirus; Pandemic; Volatility spillover; Stochastic volatility; Correlation; Spillover (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321000945
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000945

DOI: 10.1016/j.frl.2021.102013

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().