Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps
Finance Research Letters
; : 103201, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1956148
ABSTRACT
We examine whether the occurrence of jumps in the return of major cryptocurrencies increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US companies. We use two criteria to identify the US stocks with blockchain and cryptocurrency exposure;i) text search and ii) membership in the blockchain indices. We first detect that both asset classes are subject to jump behaviour. Then, we employ logistic regressions and show that the occurrence of jumps in some cryptocurrencies increases the probability of jumps in several blockchain and crypto-exposed companies. The co-jumping behaviour is not affected by the COVID-19 outbreak.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Finance Research Letters
Year:
2022
Document Type:
Article
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