A Cryptocurrency Risk-Return Analysis for Bull and Bear Regimes

Ittai Barkai, Tomer Shushi, Rami Yosef

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In this article, the authors develop a new analytical lens through which to examine the risk–return profiles of bitcoin, litecoin, ripple, and ethereum. Their focus is to understand better the price behavior of individual cryptocurrencies and their influence on one another. To achieve this, they segment each cryptocurrency’s time series of returns into disparate bull and bear regimes. They then examine the nature and extent of overlap between these regimes and whether they change over time. They also collect and plot several indicative distributed-denial-of-service attacks against the time series to investigate their possible impact on regime change episodes. Their findings shed light on previously unexplored systemic risk indicators within the cryptomarket as a whole and on the relationship between specific cryptocurrency pairs. These findings enhance the risk management toolkit for investors by revealing potential price behavior contagion patterns between cryptocurrencies pertinent to blended portfolio management. Furthermore, the authors’ approach serves as a blueprint for additional research into regime-type overlap within the cryptomarket.

Original languageEnglish GB
Pages (from-to)95-118
Number of pages24
JournalJournal of Alternative Investments
Volume24
Issue number1
DOIs
StatePublished - 1 Jun 2021

Keywords

  • Exchanges/markets/clearinghouses
  • Fnancial crises
  • Fnancial market history
  • Real assets/alternative investments/private equity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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