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Ethereum synchronicity, upside volatility and Bitcoin crash risk

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  • Ma, Yu
  • Luan, Zhiqian

Abstract

The fundamental value of Bitcoin is difficult to evaluate because there is no underlying company or cashflow. Extant literature documented various macro-economic factors and technical factors to price Bitcoin. However, for a highly speculative instrument, investors’ behavior plays an important role in asset pricing. This paper incorporates Bitcoin Ethereum synchronicity conditional on upside volatility of Bitcoin as a proxy for the fear of high Bitcoin prices. Empirical results reveal that when upside volatility is high, Ethereum synchronicity exerts a significant positive influence on Bitcoin crash risk.

Suggested Citation

  • Ma, Yu & Luan, Zhiqian, 2022. "Ethereum synchronicity, upside volatility and Bitcoin crash risk," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003573
    DOI: 10.1016/j.frl.2021.102352
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