Blockchain and Crypto-exposed US Companies and Major Cryptocurrencies: The Role of Jumps and Co-jumps

Fang Xu, Elie Bouri, Oguzhan Cepni*

*Corresponding author for this work

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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.
Original languageEnglish
Article number103201
JournalFinance Research Letters
Volume50
Number of pages25
ISSN1544-6123
DOIs
Publication statusPublished - Dec 2022

Bibliographical note

Epub ahead of print. Published online: 26 July 2022.

Keywords

  • Block chain and crypto-exposed companies
  • Cryptocurrencies
  • Jumps and co-jumps
  • GARCH-based model
  • COVID-19 outbreak

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