 Asymmetric volatility dynamics in cryptocurrency markets on multi-time scalesShinji Kakinaka and Ken Umeno Research in International Business and Finance, 2022, vol. 62, issue C Abstract: This study investigates the scale-dependent structure of asymmetric volatility effect in six representative cryptocurrencies: Bitcoin, Ethereum, Ripple, Litecoin, Monero, and Dash. By developing the dynamical approach of DFA-based fractal regression analysis, we detect whether the volatility of price changes is positively or negatively related to return shocks at different time scales. We find that the asymmetric volatility phenomenon varies by scale and cryptocurrency, and the structure is time-varying. Contrary to what is typically observed in equity markets, minor currencies show an “inverse” asymmetric volatility effect at relatively large scales, where positive shocks (good news) have a greater impact on volatility than negative shocks (bad news). The consequences are discussed in the context of who is trading in the market and heterogeneity of the investors. Keywords: Asymmetric volatility effect; Fractal regression analysis; Cryptocurrency markets; Scale-dependent correlations (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:riibaf:v:62:y:2022:i:c:s0275531922001404 DOI: 10.1016/j.ribaf.2022.101754 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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