Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches

【Author】 Kartal, Mustafa Tevfik; Kevser, Mustafa; Ayhan, Fatih

【Source】ECONOMIC CHANGE AND RESTRUCTURING

【影响因子】1.708

【Abstract】This study examines the asymmetric effects of global factors on the returns of cryptocurrencies. In this context, the study focuses on Bitcoin, Ethereum, and Ripple as top-traded cryptocurrencies, considers eight global factors, and uses high-frequency (i.e., daily) data between February 8, 2018, and June 21, 2022. Also, the study applies nonparametric causality in quantiles (NCQ) and quantile-on-quantile regression (QQR) as the main models and quantile regression (QR) as the robustness model. The empirical findings reveal that (i) effects of global factors on the returns of cryptocurrencies are asymmetric and generally positive; (ii) there are nonparametric causal effects from global factors to cryptocurrencies for return and volatility in most quantiles excluding some lower and higher quantiles; (iii) effects of the global factors on cryptocurrencies differentiate according to global factors, cryptocurrencies, and quantiles; (iv) the QR results confirm the robustness of the empirical findings; and (v) overall, the outcomes underline the asymmetric and varying effects of global factors on the returns of cryptocurrencies across quantiles. Hence, the results imply that traders and investors should consider the asymmetric effects of global factors on the returns of cryptocurrencies for trading, investment, and hedging purposes. Moreover, some policy recommendations are proposed.

【Keywords】Cryptocurrencies; Global factors; Return; Volatility; NCQ; QQR

【发表时间】

【收录时间】2023-02-07

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