Financialization in the Cryptocurrency Market

UM > Faculty of Business Administration > DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS

Residential College	false
Status	已發表Published
	Financialization in the Cryptocurrency Market
	Jiang, X2 ; Kang, W1 ; Tang, K 2; Yang, E1
	2024-06
Conference Name	2024 Asian Finance Association (AsianFA) Annual Conference
Source Publication	Asian Finance Association Annual Conference
Conference Date	June 25-26, 2024
Conference Place	Macau SAR
Country	China
Abstract	This paper reveals the financialization in the cryptocurrency market, marked by the initial launch of cryptocurrency futures at the end of 2017, through showing increased return correlations between the whole cryptocurrency market and the stock market. We also find that the cryptocurrency market returns in the post-financialization era exhibit a stronger correlation with IT-stocks portfolio and become affected by the general sentiment changes in the stock market. Besides, after financialization, returns for individual coins are more correlated with cryptocurrency market and autocorrelations of each coin become negative. The findings suggest that following financialization, mainstream financial investors step into the cryptocurrency market and include this new asset class in their portfolios.
Language	英語English
Document Type	Conference paper
Collection	DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding Author	Yang, E
Affiliation	1.Faculty of Business Administration, University of Macau 2.Institute of Economics, School of Social Sciences, Tsinghua University, Beijing, 100084, China
Corresponding Author Affilication	Faculty of Business Administration
Recommended Citation GB/T 7714	Jiang, X,Kang, W,Tang, K,et al. Financialization in the Cryptocurrency Market[C], 2024.
APA	Jiang, X., Kang, W., Tang, K., & Yang, E (2024). Financialization in the Cryptocurrency Market. Asian Finance Association Annual Conference.

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