Seminar 217, Risk Management: "News-Driven Peer Co-Movement in Crypto Markets" (Online)

Seminar 217, Risk Management: "News-Driven Peer Co-Movement in Crypto Markets" (Online)

Risk Seminar
Oct 5, 2021, 11:00 AM - 12:30 PM | Online via Zoom | Happening As Scheduled
Gustavo Schwenkler, Santa Clara University (Speaker - Featured)

ABSTRACT: When large idiosyncratic shocks hit a cryptocurrency, some of its peers experience un- usually large returns of the opposite sign. The co-movement is concentrated among peers that are co-mentioned with shocked cryptos in the news, and that are listed in the same exchanges as shocked cryptos. It is a form of mis-pricing that vanishes after several weeks, giving rise to predictable...