Good volatility,bad volatility,and the cross section of cryptocurrency returns |
| |
| Institution: | 1. College of Management, Yuan Ze University, Taoyuan City 32001, Taiwan;2. Department of Finance, National Central University, Taoyuan City 32001, Taiwan;1. School of Economics and Management, Shanghai Maritime University, China;2. UWA Business School, The University of Western Australia, M250, 35 Stirling Highway, Crawley, WA 6009, Australia;3. Business School, Renmin University of China, China;1. School of Mathematics, Southwest Jiaotong University, Chengdu, China;2. School of Finance, Renmin University of China, Beijing, China;3. School of Finance, Nanjing University of Finance and Economics, Nanjing, China;1. School of Economics and Management, Southwest Jiaotong University, Chengdu, China;2. College of Management, Yuan Ze University, Taoyuan, Taiwan;1. College of Business, Hankuk University of Foreign Studies, South Korea;2. Nottingham University Business School China, University of Nottingham Ningbo, China |
| |
| 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 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
