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 language | English |
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Article number | 103201 |
Journal | Finance Research Letters |
Volume | 50 |
Number of pages | 25 |
ISSN | 1544-6123 |
DOIs | |
Publication status | Published - 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