EconPapers    
Economics at your fingertips  
 

Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin

Walid M.A. Ahmed

Journal of Economics and Business, 2020, vol. 108, issue C

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)
JEL-codes: C22 G11 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0148619519302206
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

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 Kenneth J. Kopecky

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-13
Handle: RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206