Time varying risk aversion and its connectedness: evidence from cryptocurrencies

Shaen Corbet, Yang Hou, Yang Hu and Les Oxley
Additional contact information
Yang Hou: School of Accounting, Finance and Economics
Yang Hu: School of Accounting, Finance and Economics
Les Oxley: School of Accounting, Finance and Economics

Annals of Operations Research, 2024, vol. 338, issue 2, No 3, 879-923

Abstract: Abstract Changing patterns of risk aversion may follow a non-linear counter-cyclical process. However, the evidence so far has not considered developing cryptocurrency markets. Given some unique features of cryptocurrencies, it is interesting to distinguish how these assets differ from traditional products. This paper investigates the time effects of periodicity on risk aversion for a selection of major cryptocurrencies compared to major financial assets. Significant periodic time-varying patterns are identified when analysing risk aversion. Further, bilateral and bidirectional Granger causalities are identified within cryptocurrencies, as well as between cryptocurrencies and traditional financial assets. Bitcoin is identified as a leading information transmitter of the spillover of risk aversion upon other cryptocurrencies, while estimated risk aversion of traditional financial markets plays a dominant role in the spillover processes upon the cryptocurrency cluster. The latter finding presents further evidence of developing cryptocurrency market maturity. The COVID-19 pandemic is found to have significantly influenced the connectedness of risk aversion among cryptocurrency and traditional financial markets.

Keywords: Risk aversion; Periodicity; Cryptocurrencies; Granger causality; Spillover index (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-024-06001-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:annopr:v:338:y:2024:i:2:d:10.1007_s10479-024-06001-9

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-024-06001-9

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().