Good volatility, bad volatility, and the cross section of cryptocurrency returns

【Author】 Zhang, Zehua; Zhao, Ran

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This paper examines the predictability of realized volatility measures (RVM), especially the realized signed jumps (RSJ), on future volatility and returns. We confirm the existence of volatility persistence and future volatility is more strongly related to the volatility of past positive returns than to that of negative returns in the cryptocurrency market. RSJ-sorted cryptocurrency portfolios yield statistically and economically significant differences in the subsequent portfolio returns. After controlling for cryptocurrency market characteristics and existing risk factors, the differences remain significant. The investor attention explains the predictability of realized jump risk in future cryptocurrency returns.

【Keywords】Cryptocurrency; Realized volatility measures; Return predictability; Portfolio analyses

【发表时间】2023 OCT

【收录时间】2023-07-25

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析