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Uncertainty and Risk in the Cryptocurrency Market

2022-11-14Journal article Open access
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dc.contributor.authorAlmeida, Dora
dc.contributor.authorDionísio, Andreia
dc.contributor.authorVieira, Isabel
dc.contributor.authorFerreira, Paulo
dc.date.accessioned2023-03-17T12:15:33ZPT
dc.date.available2023-03-17T12:15:33ZPT
dc.date.issued2022-11-14PT
dc.date.updated2023-02-20T12:24:52Z
dc.description.abstractCryptocurrency investments are often perceived as uncertain and risky. In this study, 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.pt_PT
dc.description.versionN/Apt_PT
dc.identifier.doi10.3390/jrfm15110532pt_PT
dc.identifier.slugcv-prod-3138221
dc.identifier.urihttp://hdl.handle.net/10400.26/44208PT
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.relationResearch Center for Endogenous Resource Valorization
dc.subjectriskpt_PT
dc.subjectuncertaintypt_PT
dc.subjectcryptocurrenciespt_PT
dc.subjectsymbolic entropypt_PT
dc.subjectvalue-at-riskpt_PT
dc.subjectconditional value-at-riskpt_PT
dc.titleUncertainty and Risk in the Cryptocurrency Marketpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleResearch Center for Endogenous Resource Valorization
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F05064%2F2020/PT
oaire.citation.titleJournal of Risk and Financial Managementpt_PT
oaire.fundingStream6817 - DCRRNI ID
person.familyNameFortes de Almeida
person.familyNameDionisio
person.familyNameVieira
person.familyNameFerreira
person.givenNameDora Maria
person.givenNameAndreia
person.givenNameIsabel
person.givenNamePaulo
person.identifierAAT-3650-2021
person.identifier.ciencia-id181D-7395-0348
person.identifier.ciencia-id6B1B-238E-A3E7
person.identifier.ciencia-id2115-EF33-1318
person.identifier.ciencia-idB513-B46A-E5F3
person.identifier.orcid0000-0003-0224-8635
person.identifier.orcid0000-0002-4289-9312
person.identifier.orcid0000-0002-2983-7555
person.identifier.orcid0000-0003-1951-889X
person.identifier.ridC-6534-2009
person.identifier.ridP-9622-2016
person.identifier.scopus-author-id7003391431
person.identifier.scopus-author-id35745865300
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
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relation.isAuthorOfPublicationf6df1b32-19be-42f9-b74b-79964d27f8de
relation.isAuthorOfPublication2656bac6-2bde-48cc-aa0a-6a206848f4c9
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