Risk substitution in cryptocurrencies: Evidence from BRICS announcements

John W. Goodell, Ilan Alon, Laura Chiaramonte, Alberto Dreassi, Andrea Paltrinieri, Stefano Piserà

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


We investigate the impact of BRICS regulatory announcements on cryptocurrency volatilities and returns. Results evidence risk substitutions after announcements moving from ETH, XRP and LTC to BTC and vice versa, with BTC having volatility reactions to regulatory announcements that differ from those of other cryptocurrencies. Bootstrap quantile regression indicates a stronger detrimental impact of announcements when BTC is currently manifesting lower volatility and higher daily returns. Robustness checks confirm our findings, as well as evidence that the cryptocurrencies in our sample are considerably more reactive to BRICS announcements than US Fed announcements, suggesting important linkages between emerging markets and cryptocurrencies.

Original languageEnglish
Article number100938
JournalEmerging Markets Review
StatePublished - Mar 2023


  • Bitcoin
  • Cryptocurrencies
  • Emerging markets
  • Ethereum
  • FED
  • Litecoin
  • Regulatory announcements
  • Ripple


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