Sector Structure in Digital Asset Returns

We identify a sector structure within the digital asset market, where different types of digital assets (the "digital asset sectors") exhibit distinct risks and returns. To the best of our knowledge, this study represents the first comprehensive analysis of the sector structure within the digital asset market. We examine sectoral variation through two channels: the systematic risk channel and the idiosyncratic risk channel. Our results suggest that variations within the systematic risk channel are minimal, while the idiosyncratic risk channel exhibits significant variation, driven by sector-specific events, market sentiment, and inter-sector spillovers.