Cryptocurrency systematic risk dynamics
分析了2015至2023年比特币和以太坊的系统性风险，发现风险水平显著上升，贝塔值分别从0.032升至0.834和从0.087升至1.003，降低了加密货币的分散化收益。
In this study, we analyse systematic risk associated with the two leading cryptocurrencies - Bitcoin and Ethereum, from 2015 to 2023. Our findings show a significant escalation in the systematic risk levels, with beta estimates rising from 0.032 to 0.834 for Bitcoin, and from 0.087 to 1.003 for Ethereum. This hike in risk levels has dramatically reduced the diversification benefits of cryptocurrency that were documented in prior studies. In addition, we also identify increased autocorrelation of cryptocurrency systematic risk.