Title: Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies

Authors: Nagy Bálint Zsolt; Benedek Botond

Addresses: Babeş-Bolyai University, Teodor Mihali 58-60, 400591, Cluj-Napoca, Romania ' Babeş-Bolyai University, Teodor Mihali 58-60, 400591, Cluj-Napoca, Romania

Abstract: This study examines several asset pricing specifications applied for a sample of 72 cryptocurrencies. We extend the existing literature on asset pricing of cryptocurrencies by including higher co-moment factors, namely co-skewness and co-kurtosis. Our overall conclusion is that co-skewness and co-kurtosis are also priced in crypto-markets, but less pronouncedly than in equity/commodity/derivatives markets. Size and momentum factors further increase explanatory power, but their regression coefficients are insignificant.

Keywords: cryptocurrency; Bitcoin; altcoins; co-skewness; co-kurtosis; asset pricing; excess returns; Fama-MacBeth regressions.

DOI: 10.1504/IJFMD.2021.113860

International Journal of Financial Markets and Derivatives, 2021 Vol.8 No.1, pp.65 - 78

Received: 22 Apr 2020
Accepted: 24 Aug 2020
Published online: 31 Mar 2021 *

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