Uncertainty and Risk in the Cryptocurrency Market

Dora Almeida (), Andreia Dionísio, Isabel Vieira () and Paulo Ferreira
Additional contact information
Andreia Dionísio: CEFAGE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7004-516 Évora, Portugal

JRFM, 2022, vol. 15, issue 11, 1-17

Abstract: Cryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon’s symbolic entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties.

Keywords: risk; uncertainty; cryptocurrencies; symbolic entropy; value-at-risk; conditional value-at-risk (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/1911-8074/15/11/532/pdf (application/pdf)
https://www.mdpi.com/1911-8074/15/11/532/ (text/html)

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:gam:jjrfmx:v:15:y:2022:i:11:p:532-:d:972292

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().