Cryptocurrency Systematic Risk Dynamics
14 Pages Posted: 28 Sep 2023
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Cryptocurrency Systematic Risk Dynamics
Cryptocurrency Systematic Risk Dynamics
Abstract
In this paper, we delve into the analysis of systematic risk associated with the two leading cryptocurrencies - Bitcoin and Ethereum, over two key periods from 2015 to 2022. Our findings illuminate a significant escalation in the systematic risk levels, with beta estimates rising from 0.036 to 0.703 for Bitcoin, and from 0.097 to 0.900 for Ethereum. This hike in risk levels is coupled with an amplified variability and autocorrelation of systematic risk. These evolving dynamics of cryptocurrency risk suggest an increasingly intricate landscape, necessitating vigilance and frequent adjustments from investment managers for efficacious portfolio management.
Keywords: Cryptocurrency, Bitcoin, Ethereum, Realized Betas, systematic risk
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