On Cryptocurrencies as an Independent Asset Class: Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments

15 Pages Posted: 9 Dec 2020 Last revised: 12 Mar 2021

Date Written: March 8, 2021

Abstract

We report new evidence that the cryptocurrency market behaves as an independent asset class based on high-dimensional stochastic-volatility commonality tests against a basket of global investor sentiment proxies. Our approach’s novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indices (CRIX and VCRIX) that permit treating cryptocurrencies as a united pool from 2016 to 2020. Our consolidated findings suggest nugatory association between cryptocurrencies and global risk, risk aversion, and uncertainty. Further investigation of the COVID-19 pandemic period reinforces the long-horizon results.

Keywords: Cryptocurrency, Bitcoin, Ethereum, Litecoin, COVID-19, Coronavirus, Pandemic, Volatility Spillover, Stochastic Volatility, Correlation, Spillover

JEL Classification: C22, C50, G10

Suggested Citation

Sifat, Imtiaz, On Cryptocurrencies as an Independent Asset Class: Long-Horizon and COVID-19 Pandemic Era Decoupling from Global Sentiments (March 8, 2021). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3744858 or http://dx.doi.org/10.2139/ssrn.3744858

Imtiaz Sifat (Contact Author)

Monash University ( email )

Department of Accounting & Finance
Malaysia School of Business
Subang Jaya, Selangor 47500
Malaysia

HOME PAGE: http://www.sifat.asia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
60
Abstract Views
834
rank
447,070
PlumX Metrics