Cryptocurrencies and the Low Volatility Anomaly
10 Pages Posted: 17 Jan 2020
Date Written: January 6, 2020
This study examines the low volatility anomaly in the cryptocurrency market. Constructing long-short portfolios for a sample of 1,000 cryptocurrencies for the period April 28, 2013 - November 1, 2019, we find no evidence of a significant low volatility premium. This result is in contrast to the empirical findings from the equity, bond, and commodity markets and contributes to the debate on the efficiency of cryptocurrencies. In contrast to earlier studies, we find that the cryptocurrency market is far more efficient than expected, even after controlling for different sample sizes, rebalancing periods and/or portfolio construction methodologies.
Keywords: Asset pricing, Low volatility, Cryptocurrencies
JEL Classification: G1, G14, G17
Suggested Citation: Suggested Citation