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Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies

Author

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  • Nagy Bálint Zsolt
  • Benedek Botond

Abstract

This study examines several asset pricing specifications applied for a sample of 72 cryptocurrencies. We extend the existing literature on asset pricing of cryptocurrencies by including higher co-moment factors, namely co-skewness and co-kurtosis. Our overall conclusion is that co-skewness and co-kurtosis are also priced in crypto-markets, but less pronouncedly than in equity/commodity/derivatives markets. Size and momentum factors further increase explanatory power, but their regression coefficients are insignificant.

Suggested Citation

  • Nagy Bálint Zsolt & Benedek Botond, 2021. "Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 8(1), pages 65-78.
    • Handle: RePEc:ids:ijfmkd:v:8:y:2021:i:1:p:65-78
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