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- W3133608537 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." @default.
- W3133608537 created "2021-03-15" @default.
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- W3133608537 date "2021-02-01" @default.
- W3133608537 modified "2023-09-27" @default.
- W3133608537 title "Time-varying properties of asymmetric volatility and multifractality in Bitcoin" @default.
- W3133608537 hasPublicationYear "2021" @default.
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