Do cryptocurrencies and traditional asset classes influence each other?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10394598" target="_blank" >RIV/00216208:11230/19:10394598 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=fz8Ofuh2u9" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=fz8Ofuh2u9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2019.04.018" target="_blank" >10.1016/j.frl.2019.04.018</a>
Alternative languages
Result language
angličtina
Original language name
Do cryptocurrencies and traditional asset classes influence each other?
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA16-14151S" target="_blank" >GA16-14151S: Frequency dependent measurement of financial risk</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance Research Letters
ISSN
1544-6123
e-ISSN
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Volume of the periodical
31
Issue of the periodical within the volume
December
Country of publishing house
US - UNITED STATES
Number of pages
9
Pages from-to
38-46
UT code for WoS article
000500640600005
EID of the result in the Scopus database
2-s2.0-85065183710