 Is there a risk-return trade-off in cryptocurrency markets? The case of BitcoinJournal of Economics and Business, 2020, vol. 108, issue C, No S0148619519302206 Abstract: This study examines the link between returns and volatility of Bitcoin, at both contemporaneous and intertemporal levels, employing high-frequency data. The intraday price variability is proxied by four different measures, namely realized variance, jump variation, downside realized semivariance, and negative signed jump variation. The empirical analysis suggests that all realized volatility proxies have a significant and negative contemporaneous relation with Bitcoin returns. On the other hand, there is weak evidence of a negative intertemporal relation between returns and realized variance, jump variation, and downside realized semivariance. Accordingly, the existence of a positive risk-return trade-off in Bitcoin markets seems to be unsubstantiated. The findings are robust, even after controlling for a number of relevant determinants of the price formation process of Bitcoin. Keywords: Cryptocurrency markets; Bitcoin; Risk-return trade-off; Realized volatility measures; Intraday data (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206 DOI: 10.1016/j.jeconbus.2019.105886 Access Statistics for this article Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter More articles in Journal of Economics and Business from Elsevier |
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