Cryptocurrency systematic risk dynamics

Bao Doan, Dulani Jayasuriya, John B. Lee and Jonathan J. Reeves

Economics Letters, 2024, vol. 241, issue C

Abstract: In this study, we analyze systematic risk associated with the two leading cryptocurrencies - Bitcoin and Ethereum, from 2015 to 2023. Our findings show a significant escalation in the systematic risk levels, with beta estimates rising from 0.032 to 0.834 for Bitcoin, and from 0.087 to 1.003 for Ethereum. This hike in risk levels has dramatically reduced the diversification benefits of cryptocurrency that were documented in prior studies. In addition, we also identify increased autocorrelation of cryptocurrency systematic risk.

Keywords: Bitcoin; Ethereum; Realized Betas (search for similar items in EconPapers)
JEL-codes: C53 C58 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002726

DOI: 10.1016/j.econlet.2024.111788

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