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Is Bitcoin really a currency? A viewpoint of a stochastic volatility model

Noriyuki Kunimoto and Kazuhiko Kakamu

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Abstract: Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the characteristics of Bitcoin as a financial asset. The results of the estimation are threefold. First, the finding shows a small day-of-the week effect in volatility on Saturday and Sunday than in the rest of the week. Second, although the holiday effects are examined in active trading countries, namely Japan, China, Germany, and the United States, the positive post-holiday effect on the returns and weak positive pre-holiday effect on the volatility are only observed in the United States. Finally, the asymmetry effect is not observed. A comparison of Bitcoin to several assets such as stock, currency, and gold shows Bitcoin's positioning between stock, currency, and gold in relation to the week and holiday effects, its reaction to federal funds and medium of exchange characteristics, and the lack of asymmetry effect.

Date: 2021-11
New Economics Papers: this item is included in nep-cwa and nep-pay
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