Asymmetric volatility in cryptocurrencies

Dirk G. Baur, Thomas Dimpfl

Research output: Contribution to journalArticle

50 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)148-151
Number of pages4
JournalEconomics Letters
Volume173
DOIs
Publication statusPublished - 1 Dec 2018

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