Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps

Fang Xu, Elie Bouri and Oguzhan Cepni

Finance Research Letters, 2022, vol. 50, issue C

Abstract: We examine whether the occurrence of jumps in the return of major cryptocurrencies increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US companies. We use two criteria to identify the US stocks with blockchain and cryptocurrency exposure; i) text search and ii) membership in the blockchain indices. We first detect that both asset classes are subject to jump behaviour. Then, we employ logistic regressions and show that the occurrence of jumps in some cryptocurrencies increases the probability of jumps in several blockchain and crypto-exposed companies. The co-jumping behaviour is not affected by the COVID-19 outbreak.

Keywords: Block chain and crypto-exposed companies; Cryptocurrencies; Jumps and co-jumps; GARCH-based model; COVID-19 outbreak (search for similar items in EconPapers)
JEL-codes: C13 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004068

DOI: 10.1016/j.frl.2022.103201

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