SUNY Poly Professor of Finance and Chair of the Department of Chair of Accounting and Finance, Dr. Matt Brigida, is exploring the evolving relationship between cryptocurrency and traditional financial markets in his new paper, “Crypto Pricing with Hidden Factors,” published in Finance Research Letters.

The research examines which types of risk help explain expected returns across the cryptocurrency market. Using weekly data from 253 cryptocurrencies representing more than 97 percent of total crypto market capitalization, Brigida studied both crypto-specific factors and factors associated with traditional stock markets.

The findings suggest that cryptocurrency is becoming increasingly connected to traditional financial markets rather than operating as a completely separate asset class. In particular, the research found links between crypto returns and technology-related and broader stock market factors. Brigida also examined the potential influence of investor sentiment, shifts between Bitcoin and alternative cryptocurrencies, and cryptocurrency security breaches.

One of the study’s strongest findings involves cryptocurrency size. Smaller cryptocurrencies carried higher expected returns during the period studied, with the research estimating a 22.4 percent annualized price of risk associated with the crypto size factor. The study notes that future research can examine whether these relationships persist over longer periods and under different market conditions.

Explore Dr. Brigida's Research Paper