The relationship between implied volatility and cryptocurrency returns

By Erdinç Akyıldırım, Shaen Corbet, Brian M. Lucey, Ahmet Sensoy, L. Yarovaya. Finance Research Letters, 2020

124 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/70014ab0efd47d4bfef4f0813298befbd125c32e

Citations in the corpus

• The impact of macroeconomic news on Bitcoin returns (2020, unknown): “Similar inclusions of indices incorporating implied volatility of stock markets such as the VIX and VSTOXX did not add methodological improvement (as determined by Akyildirim et al. [2019]).”