Understanding the transmission of crash risk between cryptocurrency and equity markets
研究发现加密货币比股票指数更易崩盘但持续时间更短，两者崩盘风险在约80%的时期存在共性，且加密货币不确定性指数比经济政策不确定性更能预测共同崩盘行为。
Abstract We evidence that cryptocurrencies have a higher probability of crashes than equity indices, although such crashes are of shorter duration. Commonality of crash risk between cryptocurrency and equity markets occur in approximately 80% of the periods examined. Further, recently evolved cryptocurrency uncertainty indices are more relevant for predicting co‐crash behavior than economic policy uncertainty. Results are consistent with cryptocurrencies being a growing source of financial instability.