Asymmetric volatility in cryptocurrencies
By Dirk G. Baur, Thomas Dimpfl. 2018
312 citations recorded by the source corpus.
This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks. We explain this atypical effect for financial assets with trading activity of uninformed noise traders for positive shocks and trading activity of informed traders for negative shocks. The findings are consistent with “fear of missing out” (FOMO) of uninformed investors and the existence of pump and dump schemes.
Subfields: Economics and Econometrics, Finance
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Shaen Corbet
- Brian M. Lucey
- Paraskevi Katsiampa
- Andrew Urquhart
- Ender Demir
- Elie Bouri
- L. Yarovaya
- M. Gronwald
In Finance
Citations in the corpus
- High frequency volatility co-movements in cryptocurrency markets (2019, background): “[2017], Katsiampa [2017], Baur and Dimpfl [2018] and Phillip et al. [2018], among others, which have employed a broad range of volatility models in order to examine the volatility behaviour of cryptocurrencies. On the other hand, examples of studies on the interconnectedness between cryptocurrencies”
- Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models (2020, unknown): “…increasing popularity of the digital currencies, there has been a growing literature in recent years analyzing the similarity in the volatility properties between cryptocurrencies and other financial assets (see e.g. Baur et al., 2018; Dyhrberg, 2016a; Bouri et al., 2017a; and Klein et al., 2018).”