Economics at your fingertips  

The relationship between implied volatility and cryptocurrency returns

Erdinc Akyildirim, Shaen Corbet (), Brian Lucey (), Ahmet Sensoy and Larisa Yarovaya ()

Finance Research Letters, 2020, vol. 33, issue C

Abstract: We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products.

Keywords: Cryptocurrencies; Volatility; VIX; VSTOXX; GARCH; DCC-GARCH (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/

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 ().

Page updated 2022-01-17
Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319303381