期刊論文
| 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 | Hsuan-Ling Chang, Wei-Ying Nie, Li-Han Chang, Hung-Wen Cheng, Kuang-Chieh Yen |
| 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 |
| 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 | NLD |
| 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 ) |