Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns

【Author】 Zhang, Chuanhai; Zhang, Zhengjun; Xu, Mengyu; Peng, Zhe

【Source】ECONOMIC MODELLING

【影响因子】3.875

【Abstract】Recent studies find jumps in cryptocurrencies such as Bitcoin, however, little is known about the behavior of self -exciting jump clustering. Using high frequency data, we investigate the characteristics of self-exciting jumps in Bitcoin returns. First, we find strong asymmetry in self-excitation, which is triggered, on average, more by bad (negative) jumps than good (positive) jumps. Second, when discriminating bear and bull markets, we find negative asymmetry in bear markets but no evidence of positive asymmetry in bull markets. Third, self-excitation has asymmetric aftershock effects, where aftershocks triggered by bad self-excitation are more persistent than aftershocks triggered by good self-excitation. The findings presented in this paper have important implications in risk management and asset pricing for Bitcoin.

【Keywords】Bitcoin; Self-excitation; Asymmetric effects; Good jumps; bad jumps; High frequency data

【发表时间】2023 FEB

【收录时间】2023-01-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币