Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?

Josef Kurka

No 2017/29, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: Large stream of literature studies interconnectedness among various assets that are relevant in current global markets. Transmission of shocks between cryptocurrencies and traditional asset classes is, however, not understood at all, but should not be ignored due to increasing influence of cryptocurrencies in recent years. In this paper, we study how shocks between the most liquid representatives of the traditional asset classes including commodities, foreign exchange, stocks, financials, and cryptocurrencies are being transmitted. Generally, we document very low level of connectedness between the main cryptocurrency and other studied assets. The only exception is gold which receives substantial amount of shocks from cryptocurrency market. Our findings are important since we show that cryptocurrencies play role in global markets, and the results could also be useful in portfolio diversification schemes. Moreover, we find significant positive asymmetry in spillovers between the studied assets, which is in contradiction to previous studies conducted on assets from a single asset class.

Keywords: cryptocurrencies; volatility; connectedness; asymmetric effects; realized semivariance (search for similar items in EconPapers)
JEL-codes: C38 C58 E49 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2017-12, Revised 2017-12
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Do cryptocurrencies and traditional asset classes influence each other? (2019)
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