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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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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