Cryptocurrency Systematic Risk Dynamics

14 Pages Posted: 28 Sep 2023

See all articles by Bao Doan

Bao Doan

Royal Melbourne Institute of Technolog (RMIT University)

John B. Lee

University of Auckland Business School

Dulani Jayasuriya

University of Auckland Business School

Jonathan J. Reeves

UNSW Business School, University of New South Wales; Financial Research Network (FIRN)

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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

Suggested Citation

Doan, Bao and Lee, John B. and Jayasuriya, Dulani and Reeves, Jonathan J., Cryptocurrency Systematic Risk Dynamics. UNSW Business School Research Paper Forthcoming, Available at SSRN: https://ssrn.com/abstract=4586236 or http://dx.doi.org/10.2139/ssrn.4586236

Bao Doan

Royal Melbourne Institute of Technolog (RMIT University) ( email )

124 La Trobe Street
Melbourne, 3000
Australia

John B. Lee (Contact Author)

University of Auckland Business School ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand
649 373 7599 ext. 85171 (Phone)
649 373 7406 (Fax)

Dulani Jayasuriya

University of Auckland Business School ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand

Jonathan J. Reeves

UNSW Business School, University of New South Wales ( email )

Sydney, NSW 2052
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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