The Dynamic Dependency between a Cryptocurrency ETF and ETFs Representing Conventional Asset Classes

Marcos Velazquez (), Alper Gormus and Nima Vafai
Additional contact information
Marcos Velazquez: Department of Accounting, Finance, and Energy Business, College of Business, The University of Texas Permian Basin, Odessa, TX 79762, USA
Alper Gormus: Department of Accounting, Finance, and Energy Business, College of Business, The University of Texas Permian Basin, Odessa, TX 79762, USA
Nima Vafai: Department of Accounting, Finance, and Energy Business, College of Business, The University of Texas Permian Basin, Odessa, TX 79762, USA

JRFM, 2023, vol. 16, issue 9, 1-14

Abstract: Using daily closing price observations between November 2017 and February 2023, this paper documents how the shocks of a cryptocurrency ETF resonate with ETFs representing traditional asset classes in terms of price and volatility. We find price transmission from the cryptocurrency ETF into the ETFs of several currencies, small-cap equities, and inflation. Risk propagation from the cryptocurrency ETF flows toward ETFs constituted of equities of various sizes, oil prices, high-yield corporate bonds, and inflation. There is scant evidence of transmission from ETFs with underlying conventional assets into the cryptocurrency ETF. The findings bear implications for low-cost risk management strategies.

Keywords: ETF; cryptocurrency; spillover; stock returns; volatility (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/9/412/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/9/412/ (text/html)

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: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:412-:d:1240817

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().