Publication detail

Do cryptocurrencies and traditional asset classes influence each other?

Author(s): Mgr. Josef Kurka ,
Type: Articles in journals with impact factor
Year: 2019
Number: 31
ISSN / ISBN:
Published in: Finance Research Letters
Publishing place:
Keywords: Cryptocurrencies; Connectedness; Asymmetric effects; Realized semivariance; Volatility
JEL codes: C38; C58; E49
Suggested Citation: Kurka, Josef. "Do cryptocurrencies and traditional asset classes influence each other?." Finance Research Letters 31 (2019): 38-46.
Grants: GAUK No. 846217: Capital asset pricing in the quantile-frequency domain
Abstract: This paper studies the asymmetric transmission mechanisms of shocks between the most liquid representatives of traditional asset classes, including commodities, foreign exchange, stocks and financials, and cryptocurrencies, represented by Bitcoin. Our results suggest that the unconditional connectedness between cryptocurrencies and traditional assets is negligible. However, conditional analysis uncovers periods of substantial shock transmission between Bitcoin and traditional assets. This finding undermines the potential of Bitcoin as a hedge to traditional assets and shows that market disruptions can spread from Bitcoin to the traditional economy. The increasing market capitalization of cryptocurrencies further strengthens the importance of such findings.

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