Asymmetric volatility in cryptocurrencies

Dirk G. Baur and Thomas Dimpfl

Economics Letters, 2018, vol. 173, issue C, 148-151

Abstract: This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks. We explain this atypical effect for financial assets with trading activity of uninformed noise traders for positive shocks and trading activity of informed traders for negative shocks. The findings are consistent with “fear of missing out” (FOMO) of uninformed investors and the existence of pump and dump schemes.

Keywords: Asymmetric volatility; Bitcoin; Cryptocurrencies; FOMO (search for similar items in EconPapers)
JEL-codes: E49 G14 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (130)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:173:y:2018:i:c:p:148-151

DOI: 10.1016/j.econlet.2018.10.008

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