The relationship between implied volatility and cryptocurrency returns
The relationship between implied volatility and cryptocurrency returns
We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products
Akyildirim, Erdinc
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Corbet, Shaen
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Lucey, Brian
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Sensoy, Ahmet
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Yarovaya, Larisa
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Akyildirim, Erdinc
d93ee3ff-70ad-457b-a083-a97f58a1df3e
Corbet, Shaen
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Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Sensoy, Ahmet
1904b38a-0119-448e-a168-aaeee2c63aa1
Yarovaya, Larisa
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Akyildirim, Erdinc, Corbet, Shaen, Lucey, Brian, Sensoy, Ahmet and Yarovaya, Larisa
(2019)
The relationship between implied volatility and cryptocurrency returns.
Finance Research Letters.
(doi:10.1016/j.frl.2019.06.010).
Abstract
We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. Overall, our results indicate the existence of time-varying positive interrelationships between the conditional correlations of cryptocurrencies and financial market stress. Further, these correlations are found to increase substantially during periods of high financial market stress, indicating that the contagion of significant financial market fear influences these new financial products
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Accepted/In Press date: 26 June 2019
e-pub ahead of print date: 26 June 2019
Identifiers
Local EPrints ID: 432567
URI: http://eprints.soton.ac.uk/id/eprint/432567
ISSN: 1544-6123
PURE UUID: ab60e0a8-fc3c-4919-9414-e8944ad9328b
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Date deposited: 18 Jul 2019 16:31
Last modified: 16 Mar 2024 08:01
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Contributors
Author:
Erdinc Akyildirim
Author:
Shaen Corbet
Author:
Brian Lucey
Author:
Ahmet Sensoy
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