ArticlePloS one2021
Time-varying properties of asymmetric volatility and multifractality in Bitcoin.
Article in PloS one, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 4 papers.
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Who cites it
4 citing papers in PubMed.
- What Is Mature and What Is Still Emerging in the Cryptocurrency Market?Entropy (Basel, Switzerland) · 2023Article
- Article
- The Cryptocurrency Market in Transition before and after COVID-19: An Opportunity for Investors?Entropy (Basel, Switzerland) · 2022Article
- An analysis of investors' behavior in Bitcoin market.PloS one · 2022Article
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Authors and funding
1 author.
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Abstract
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness, average, serial correlation, and multifractal degree, also change over time. Thus, we argue that properties of the Bitcoin market are mostly time dependent. We examine efficiency-related measures: the Hurst exponent, multifractal degree, and kurtosis. We find that when these measures represent that the market is more efficient, the volatility asymmetry weakens. For the recent Bitcoin market, both efficiency-related measures and the volatility asymmetry prove that the market becomes more efficient.
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