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What Drives Crypto’s Volatility Persistence: A Data Analytic Probe on Ethereum

56 Pages Posted: 8 Feb 2024

See all articles by Min-Bin Lin

Min-Bin Lin

affiliation not provided to SSRN

Cathy Yi‐Hsuan Chen

University of Glasgow, Adam Smith Business School; Humboldt Universität zu Berlin

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute; Academy of Economic Studies, Bucharest

Date Written: January 18, 2024

Abstract

This study investigates cryptocurrency volatility dynamics, particularly focusing on Ethereum (ETH). We dissect long- and short-term volatility components to gain deeper insights into its evolution. This approach allows studying the impact of ETH’s Merge upgrade, replacing Proof-of-Work with Proof-of-Stake on September 15, 2022. Employing 29 empirical factors related to blockchain functionality and crypto market characteristics, we explore their long-term equilibrium connection with price volatility. Our findings reveal that scalability factors and wealth dis- tribution significantly influence volatility persistence, ultimately highlighting the stability-enhancing impact of Ethereum’s Merge upgrade.

Keywords: Blockchain, Ethereum, ETH, cryptonomics, the Merge, volatility components

JEL Classification: A1, D0, E21, G12

Suggested Citation

Lin, Min-Bin and Chen, Cathy Yi‐Hsuan and Härdle, Wolfgang Karl, What Drives Crypto’s Volatility Persistence: A Data Analytic Probe on Ethereum (January 18, 2024). Available at SSRN: https://ssrn.com/abstract=4699666 or http://dx.doi.org/10.2139/ssrn.4699666

Min-Bin Lin (Contact Author)

affiliation not provided to SSRN

Cathy Yi‐Hsuan Chen

University of Glasgow, Adam Smith Business School ( email )

University Avenue
Glasgow, G12 8QQ
United Kingdom
01413305065 (Phone)

HOME PAGE: http://https://gla.cathychen.info

Humboldt Universität zu Berlin ( email )

Unter den Linden 6,
Berlin, 10117
Germany
03020935631 (Phone)
10099 (Fax)

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Asian Competitiveness Institute ( email )

Singapore

Academy of Economic Studies, Bucharest ( email )

Bucharest
Romania

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