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

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.(c) 2022 Elsevier B.V. All rights reserved.

Automated summary

By analyzing various cryptocurrencies, we found that the leverage effect is absent in this market. Unlike the equity market, investors show less panic behavior and appear indifferent to negative returns in terms of market participation. Furthermore, our results demonstrate the reversal of the negative asymmetric effect for certain cryptocurrencies, indicating investors' fear of missing out.