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Synapse
April 3, 20261 citationsOpen Access

Cryptocurrency Market Maturation and Evolving Risk Profiles: A Comparative Analysis of Bitcoin and Ethereum Tail Risk Dynamics

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OLOksana LiashenkoBABogdan AdamykOAOksana Adamyk

Key Points

  • This research aims to analyze the evolution of tail risk in Bitcoin and Ethereum to assess market maturation.
  • Employs daily closing price data from 2015-2026 for Bitcoin and 2017-2026 for Ethereum.
  • Uses 365-day rolling windows to analyze risk metrics over time.
  • Applies Newey-West trend tests on rolling risk metrics and conducts regime-conditional analysis.
  • Trend coefficients for both assets are statistically significant (p < 0.001).
  • Bitcoin VaR decreased by 22.0% and Ethereum VaR by 26.6% in later periods compared to earlier ones.
  • Tail risk reductions are mostly found during low-uncertainty periods, with no improvement seen in high-uncertainty regimes.

Abstract

This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH). Using daily closing prices from January 2015 to February 2026 for BTC (n = 4058) and November 2017 to February 2026 for ETH (n = 3015), we employ 365-day rolling windows—reflecting the continuous 24/7 operation of cryptocurrency markets—to trace the temporal dynamics of Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), and Maximum Drawdown (MDD). The empirical strategy combines (i) Newey–West trend tests on rolling risk metrics, (ii) regime-conditional analysis across market states (Bull, Bear, or Neutral) and volatility regimes (high/low uncertainty), and (iii) exceedance correlation analysis to capture asymmetric BTC–ETH tail dependence. The results are consistent with the market maturation hypothesis: all ten trend coefficients across both assets are statistically significant (p < 0.001), with linear time trends explaining up to 46.8% (BTC VaR1%) and 67.5% (ETH VaR1%) of variation in rolling tail risk. Sub-period comparisons confirm economically meaningful declines—BTC VaR1% fell by 22.0% and ETH VaR1% by 26.6% between the early and late subsamples. However, maturation is markedly asymmetric across uncertainty regimes: tail-risk reductions concentrate in low-uncertainty periods, whereas BTC MDD in high-uncertainty regimes shows no significant improvement (+1.0%, p = 0.176). Excess correlation analysis reveals a persistent and widening downside asymmetry (ρ− = 0.847 vs. ρ+ = 0.246 at the 90th percentile), with late-period upper-tail correlation turning negative (ρ+ = −0.175 at the 95th percentile), implying that portfolio diversification within the cryptocurrency asset class remains illusory during market stress. These findings carry direct implications for institutional risk management, stress-testing frameworks, and prudential regulation of digital assets.

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Cite This Study

Liashenko et al. (2026) studied this question.

synapsesocial.com/papers/69cf5ede5a333a821460d8a1https://doi.org/10.3390/fintech5020028
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