Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets

【Author】 Yang, Jen-Wei; Chiu, Shih-Yung; Yen, Kuang-Chieh

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study investigates the relationship between the daily returns of cryptocurrencies and their realized performance measure and moments (variance, skewness, and kurtosis). Because the cryptocurrency returns are non-Gaussian distributions and perform bubble-like behaviors, we adopt the performance measure proposed by Schnytzer and Westreich (2013) to capture all informational content related to the distribution of a return. First, the empirical results revealed that there is a positive relationship between the realized performance measure and daily returns. Furthermore, this realized performance measure dominates the realized variance, skewness, and kurtosis in terms of affecting and predicting Bitcoin and Ethereum daily returns.

【Keywords】Realized performance measure; Realized variance; Realized skewness; Realized kurtosis; Cryptocurrency; Bitcoin

【发表时间】2023 JAN

【收录时间】2022-11-17

【文献类型】实证数据

【主题类别】

区块链应用-虚拟经济-DeFi