Cryptocurrencies and the low volatility anomaly

Tobias Burggraf and Markus Rudolf

Finance Research Letters, 2021, vol. 40, issue C

Abstract: This study examines the low volatility anomaly in the cryptocurrency market. Constructing long-short portfolios for a sample of 1000 cryptocurrencies for the period April 28, 2013 – November 1, 2019, we find no evidence of a significant low volatility premium. This result is in contrast to the empirical findings from the equity, bond, and commodity markets and contributes to the debate on the efficiency of cryptocurrencies. In contrast to earlier studies, we find that the cryptocurrency market is far more efficient than expected, even after controlling for different sample sizes, rebalancing periods and / or portfolio construction methodologies.

Keywords: Asset pricing; Low volatility; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: G1 G14 G17 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030667x

DOI: 10.1016/j.frl.2020.101683

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