Cryptocurrency Momentum and VIX premium

Hsuan-Ling Chang, Wei-Ying Nie, Li-Han Chang, Hung-Wen Cheng and Kuang-Chieh Yen

Finance Research Letters, 2023, vol. 57, issue C

Abstract: The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market. In this paper, we investigate whether VIX, VIX premium (Cheng, 2019), or economic policy uncertainty (EPU) can predict changes in cryptocurrency momentum premiums. The empirical analysis indicates that higher VIX premiums can increase the one-month-ahead momentum premium, and that VIX and EPU levels are not predictors of momentum premiums. Overall, we demonstrate that uncertainty can affect the cryptocurrency momentum premium through VIX futures rather than VIX itself or news-based information (i.e., EPU).

Keywords: Cryptocurrencies; Momentum; VIX; Economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: D81 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005688

DOI: 10.1016/j.frl.2023.104196

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