Cryptocurrency Systematic Risk Dynamics
14 Pages Posted: 19 Feb 2024
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Cryptocurrency Systematic Risk Dynamics
Abstract
In this paper, we delve into the analysis of systematic risk associated with the two leadingcryptocurrencies - Bitcoin and Ethereum, over periods from 2015 to 2022. Our findingsilluminate a significant escalation in the systematic risk levels, with beta estimates risingfrom 0.036 to 0.703 for Bitcoin, and from 0.097 to 0.900 for Ethereum. This hike in risk levelshas dramatically reduced the diversification benefits of cryptocurrency that were documentedin earlier studies. In addition, we also identify increased variability and autocorrelation of cryptocurrencysystematic risk.
Keywords: Bitcoin, Ethereum, Realized Betas.
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