4.7 Article

Cryptocurrency Momentum and VIX premium

Journal

FINANCE RESEARCH LETTERS
Volume 57, Issue -, Pages -

Publisher

ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2023.104196

Keywords

Cryptocurrencies; Momentum; VIX; Economic policy uncertainty

Ask authors/readers for more resources

This paper investigates the predictability of changes in cryptocurrency momentum premiums by VIX, VIX premium, and economic policy uncertainty (EPU). The empirical analysis shows that higher VIX premiums can increase the one-month-ahead momentum premium, while VIX and EPU levels are not predictors of momentum premiums. Overall, it is demonstrated that uncertainty can affect the cryptocurrency momentum premium through VIX futures rather than VIX itself or news-based information (i.e., EPU).
The cryptocurrency momentum premium, defined as the risk premium exposure to the cryptocurrencies with higher past return, is a key factor in the cryptocurrency market. In this paper, we investigate whether VIX, VIX premium (Cheng, 2019), or economic policy uncertainty (EPU) can predict changes in cryptocurrency momentum premiums. The empirical analysis indicates that higher VIX premiums can increase the one-month-ahead momentum premium, and that VIX and EPU levels are not predictors of momentum premiums. Overall, we demonstrate that uncertainty can affect the cryptocurrency momentum premium through VIX futures rather than VIX itself or news-based information (i.e., EPU).

Authors

I am an author on this paper
Click your name to claim this paper and add it to your profile.

Reviews

Primary Rating

4.7
Not enough ratings

Secondary Ratings

Novelty
-
Significance
-
Scientific rigor
-
Rate this paper

Recommended

No Data Available
No Data Available