Detail publikace

Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?

Autor: Mgr. Josef Kurka ,
Typ: IES Working Papers
Rok: 2017
Číslo: 29
Publikováno v: IES Working Papers 29/2017
Místo vydání: Prague
Klíčová slova: cryptocurrencies, volatility, connectedness, asymmetric effects, realized semivariance
JEL kódy: C38, C58, E49
Citace: Kurka J. (2017). " Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?” IES Working Paper 29/2017. IES FSV. Charles University.
Abstrakt: Large stream of literature studies interconnectedness among various assets that are relevant in current global markets. Transmission of shocks between cryptocurrencies and traditional asset classes is, however, not understood at all, but should not be ignored due to increasing influence of cryptocurrencies in recent years. In this paper, we study how shocks between the most liquid representatives of the traditional asset classes including commodities, foreign exchange, stocks, financials, and cryptocurrencies are being transmitted. Generally, we document very low level of connectedness between the main cryptocurrency and other studied assets. The only exception is gold which receives substantial amount of shocks from cryptocurrency market. Our findings are important since we show that cryptocurrencies play role in global markets, and the results could also be useful in portfolio diversification schemes. Moreover, we find significant positive asymmetry in spillovers between the studied assets, which is in contradiction to previous studies conducted on assets from a single asset class.
Ke stažení: wp_2017_29_kurka


McKinsey & Company
Moneta Money Bank