Cryptocurrency Momentum and VIX premium
學年 111
學期 2
出版（發表）日期 2023-07-09
作品名稱 Cryptocurrency Momentum and VIX premium
作品名稱（其他語言）
著者 Chang, Hsuan-ling
單位
出版者
著錄名稱、卷期、頁數 Finance Research Letters 57,　104196
摘要 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).
關鍵字 Cryptocurrencies;Momentum;VIX;Economic policy uncertainty
語言 en_US
ISSN 1544-6131
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125101 )