Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders

【Author】 Karim, Muhammad Mahmudul; Shah, Mohamed Eskandar; Noman, Abu Hanifa Md; Yarovaya, Larisa

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This paper aims to analyze the return-volatility relationship of Bitcoin and Ethereum across different return frequencies and all conditional quantiles of implied volatility, based on a unique 6.5 million observations. We employ the newly constructed Model-Free Implied Volatility (MFIV) of Bitcoin (BitVol) and Ethereum (EthVol) and use an asymmetric Quantile Regression Model (QRM) to capture the intraday asymmetric return-volatility relationship at different quantiles of the distribution of the dependent variable. Our findings show that the estimated coefficient using daily data is significant only at medium- to high-volatility regimes, while the estimated coefficients using high-frequency data are highly significant across all volatility regimes. Moreover, our results indicate that the asymmetry varies across frequencies and quantiles, with weak asymmetric effects at low quantiles and high frequencies, and strong asymmetric effects at high quantiles and low frequencies. This study provides new insight, especially for high-frequency traders.

【Keywords】Return-volatility; Cryptocurrencies; Asymmetric; Quintile regression; Return frequencies

【发表时间】2024 NOV

【收录时间】2024-10-26

【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