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Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

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  • Brini, Alessio
  • Lenz, Jimmie

Abstract

By analyzing a large cross-section of cryptocurrencies, we document the absence of the leverage effect in this market. Unlike the equity market, investors exhibit less panicking behavior and appear indifferent to negative returns in terms of market participation. Moreover, the negative asymmetric effect is reverted for some cryptocurrencies in our dataset, showing the investors’ fear of missing out. Our results are robust over different leverage effect models and historical time windows.

Suggested Citation

  • Brini, Alessio & Lenz, Jimmie, 2022. "Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect," Economics Letters, Elsevier, vol. 220(C).
    • Handle: RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003597
    DOI: 10.1016/j.econlet.2022.110885
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    References listed on IDEAS

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