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.

Language
Englisch

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

Classification
Management
Subject
risk
uncertainty
cryptocurrencies
symbolic entropy
value-at-risk
conditional value-at-risk

Event
Geistige Schöpfung
(who)
Almeida, Dora
Dionísio, Andreia Teixeira Marques
Vieira, Isabel
Ferreira, Paulo
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2022

DOI
doi:10.3390/jrfm15110532
Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Artikel

Associated

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

Time of origin

  • 2022

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