EVOLUTION OF BITCOIN: VOLATILITY COMPARISONS WITH LEAST DEVELOPED COUNTRIES’ CURRENCIES

Jochen Kasper ()
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Jochen Kasper: Faculty of Economics and Behavioral Sciences, University of Freiburg, Germany

Journal of Internet Banking and Commerce, 2017, vol. 22, issue 03, 01-18

Abstract: Bitcoin volatility is known to be high, as is shown by comparing Bitcoin volatility to several currencies and to assets like stock, gold etc. This work attempts to extend this work by comparing Bitcoin volatility to volatility of currencies of least developed countries and other cryptocurrencies. Exchange rate and return data drawn from Bloomberg and covering March 2014 to March 2017 was analysed. It was found that Bitcoin volatility is still considerably higher than volatilities of currencies of least developed countries. Only five currencies were more volatile for more than 10% of the time span analysed.

Keywords: Bitcoin; Volatility; Comparison; Least Developed Country Currency (search for similar items in EconPapers)
JEL-codes: A11 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ris:joibac:0125

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