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I. Chiu, M. Hung & K. Yen: Svix, VIX, and Cryptocurrency Market Return

July 10, 2024

In this paper, we investigate whether the difference between the squared VIX and SVIX index (Martin, 2017) predict the crypto-market excess return. First, we find that the larger difference between VIX and SVIX leads to the higher crypto-market excess return. In addition, the results remain significant controlling for global, US, and China economic policy uncertainty (EPU) constructed by Baker et al. (2016), and VIX premium provided by Cheng (2019) and. Finally, there are no significant effects on size and momentum factors.

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