Uncertainty and Risk in the Cryptocurrency Market

• Autor(a) principal: Almeida, Dora
• Data de Publicação: 2022
• Outros Autores: Dionisio, Andreia, Vieira, Isabel, Ferreira, Paulo
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10174/32917; https://doi.org/Almeida, D., Dionísio, A., Vieira, I., Ferreira, P. (2022). Uncertainty and risk in the cryptocurrency market. Journal of Risk and Financial Management, 15: 532. https://doi.org/10.3390/jrfm15110532; https://doi.org/10.3390/jrfm15110532
• topic: Risk; Uncertainty; cryptocurrencies;; symbolic entropy; Value at Risk; conditional Value at risk

Cryptocurrency investments are often perceived as uncertain and risky. In this tudy, 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.