Do cryptocurrencies and traditional asset classes influence each other?

Josef Kurka

Finance Research Letters, 2019, vol. 31, issue C, 38-46

Abstract: This paper studies the asymmetric transmission mechanisms of shocks between the most liquid representatives of traditional asset classes, including commodities, foreign exchange, stocks and financials, and cryptocurrencies, represented by Bitcoin. Our results suggest that the unconditional connectedness between cryptocurrencies and traditional assets is negligible. However, conditional analysis uncovers periods of substantial shock transmission between Bitcoin and traditional assets. This finding undermines the potential of Bitcoin as a hedge to traditional assets and shows that market disruptions can spread from Bitcoin to the traditional economy. The increasing market capitalization of cryptocurrencies further strengthens the importance of such findings.

Keywords: Cryptocurrencies; Connectedness; Asymmetric effects; Realized semivariance; Volatility; Subject classification codes: C38; C58; E49 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (105)

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Working Paper: Do Cryptocurrencies and Traditional Asset Classes Influence Each Other? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:38-46

DOI: 10.1016/j.frl.2019.04.018

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