Is idiosyncratic volatility priced in cryptocurrency markets?

Wei Zhang and Yi Li

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: This paper investigates how idiosyncratic volatility is priced in the cross-section of cryptocurrency returns. By conducting both portfolio-level analysis and Fama-MacBeth regression analysis, we demonstrate that idiosyncratic volatility is positively related to the expected returns of cryptocurrencies. This finding is not subsumed by effects of size, momentum, liquidity, volume, and price and is robust to different weighting schemes, holding periods, and sample sizes. Besides, we find no evidence of temporal relation between idiosyncratic volatility and returns in cryptocurrency markets.

Keywords: Cross-section of cryptocurrency returns; Idiosyncratic volatility; Predictability (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301926

DOI: 10.1016/j.ribaf.2020.101252

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