Cryptocurrencies and the Low Volatility Anomaly

10 Pages Posted: 17 Jan 2020

See all articles by Tobias Burggraf

Tobias Burggraf

WHU - Otto Beisheim School of Management

Jan Spörer

Frankfurt School of Finance & Management; WHU - Otto Beisheim School of Management

Date Written: January 6, 2020

Abstract

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

Burggraf, Tobias and Spörer, Jan, Cryptocurrencies and the Low Volatility Anomaly (January 6, 2020). Available at SSRN: https://ssrn.com/abstract=3514524 or http://dx.doi.org/10.2139/ssrn.3514524

Tobias Burggraf (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

Jan Spörer

Frankfurt School of Finance & Management ( email )

Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany

WHU - Otto Beisheim School of Management ( email )

Vallendar
Germany

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