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Cryptocurrency shocks
Author(s) -
Liu Jinan,
Rahman Sajjadur,
Serletis Apostolos
Publication year - 2021
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12354
Subject(s) - cryptocurrency , economics , bond , financial market , bivariate analysis , monetary economics , stock market , bond market , foreign exchange , stock (firearms) , asset (computer security) , financial economics , econometrics , finance , context (archaeology) , mechanical engineering , paleontology , statistics , computer security , mathematics , computer science , biology , engineering
Abstract In this paper, we use a bivariate structural VAR to investigate risk spillovers from the cryptocurrency market to standard financial markets. We investigate the effects of cryptocurrency shocks on key financial markets, including the stock, bond, gold and foreign exchange markets. The results show that cryptocurrency shocks do not have statistically significant effects on standard financial markets except for the bond market. This is consistent with most of the existing literature that argues that cryptocurrencies are mostly a new and different asset class, not related to standard factors.