Asset Management Upstart: Virtual Currencies

Abstract

Cryptocurrencies are commonly perceived as a disruptive technology that raises both hopes and fears in the minds of different categories of stakeholders within the economy. In fact, Cryptocurrencies offer several potential benefits as innovative and efficient payment system but at the same time, they are the source of potential risks that could harm investors, consumers, businesses, financial systems and even the national security. The mixed views on cryptocurrencies and their future continue to be the driving force behind the excessive volatility of their market values. This has in turns attracted a growing interest from researchers in demystifying the complex world of cryptocurrencies which remains ambiguous and puzzling for the majority of market participants. Aiming to extend earlier research efforts, the present paper examines the conditional cross effects and volatility spillover between the most prominent cryptocurrency (i.e., Bitcoin) and a set of financial indicators.