Cryptocurrency Systematic Risk Dynamics

14 Pages Posted: 19 Feb 2024

See all articles by Bao Doan

Bao Doan

Royal Melbourne Institute of Technolog (RMIT University)

Dulani Jayasuriya

University of Auckland Business School

John B. Lee

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 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.

Suggested Citation

Doan, Bao and Jayasuriya, Dulani and Lee, John B. and Reeves, Jonathan J., Cryptocurrency Systematic Risk Dynamics. UNSW Business School Research Paper Forthcoming, Available at SSRN: https://ssrn.com/abstract=4731468 or http://dx.doi.org/10.2139/ssrn.4731468

Bao Doan

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

124 La Trobe Street
Melbourne, 3000
Australia

Dulani Jayasuriya

University of Auckland Business School ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand

John B. Lee

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)

Jonathan J. Reeves (Contact Author)

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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