Ethereum synchronicity, upside volatility and Bitcoin crash risk

Yu Ma and Zhiqian Luan

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: The fundamental value of Bitcoin is difficult to evaluate because there is no underlying company or cashflow. Extant literature documented various macro-economic factors and technical factors to price Bitcoin. However, for a highly speculative instrument, investors’ behavior plays an important role in asset pricing. This paper incorporates Bitcoin Ethereum synchronicity conditional on upside volatility of Bitcoin as a proxy for the fear of high Bitcoin prices. Empirical results reveal that when upside volatility is high, Ethereum synchronicity exerts a significant positive influence on Bitcoin crash risk.

Keywords: Bitcoin; Cryptocurrency; Crash risk; Synchronicity; Upside volatility (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003573

DOI: 10.1016/j.frl.2021.102352

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