Asymmetric Volatility in Cryptocurrencies

11 Pages Posted: 29 Mar 2019

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: September 18, 2018

Abstract

This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks. We explain this atypical effect for financial assets with trading activity of uninformed noise traders for positive shocks and trading activity of informed traders for negative shocks. The findings are consistent with "fear of missing out" (FOMO) of uninformed investors and the existence of pump and dump schemes.

Keywords: asymmetric volatility, Bitcoin, cryptocurrencies, FOMO

JEL Classification: E49, G14

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, Asymmetric Volatility in Cryptocurrencies (September 18, 2018). Available at SSRN: https://ssrn.com/abstract=3347617 or http://dx.doi.org/10.2139/ssrn.3347617

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl (Contact Author)

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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