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The relationship between implied volatility and cryptocurrency returns

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
1544-6123
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
2bd189e8-3bad-48b0-9d09-5d96a4132889
Akyildirim, Erdinc
d93ee3ff-70ad-457b-a083-a97f58a1df3e
Corbet, Shaen
8a3e20b1-891b-4102-82f2-e2c39a7a1d59
Lucey, Brian
ea62416d-8886-4acd-b160-f653aea6c319
Sensoy, Ahmet
1904b38a-0119-448e-a168-aaeee2c63aa1
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

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).

Record type: Article

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
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

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Date deposited: 18 Jul 2019 16:31
Last modified: 28 Apr 2022 04:12

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Contributors

Author: Erdinc Akyildirim
Author: Shaen Corbet
Author: Brian Lucey
Author: Ahmet Sensoy
Author: Larisa Yarovaya ORCID iD

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