Artikel

Uncertainty and risk in the cryptocurrency market

Cryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon's symbolic entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether, the analyzed cryptocurrencies' returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties.

Sprache
Englisch

Erschienen in
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 11 ; Pages: 1-17

Klassifikation
Management
Thema
risk
uncertainty
cryptocurrencies
symbolic entropy
value-at-risk
conditional value-at-risk

Ereignis
Geistige Schöpfung
(wer)
Almeida, Dora
Dionísio, Andreia Teixeira Marques
Vieira, Isabel
Ferreira, Paulo
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2022

DOI
doi:10.3390/jrfm15110532
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Almeida, Dora
  • Dionísio, Andreia Teixeira Marques
  • Vieira, Isabel
  • Ferreira, Paulo
  • MDPI

Entstanden

  • 2022

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