A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

The purpose of this paper is to investigate the viability as compared with other financial assets of cryptocurrencies as a currency or as an asset investment. This paper also aims to see which macro variable relates more to the price of cryptocurrencies, especially Bitcoin. Since the whole concept o...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Yianni Doumenis, Javad Izadi, Pradeep Dhamdhere, Epameinondas Katsikas, Dimitrios Koufopoulos
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	cryptocurrencies Bitcoin investment price volatility Insurance HG8011-9999
Acceso en línea:	https://doaj.org/article/f51a7814a71940d7b0475fc9a896a992
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:f51a7814a71940d7b0475fc9a896a992
record_format	dspace
spelling	oai:doaj.org-article:f51a7814a71940d7b0475fc9a896a9922021-11-25T18:56:14ZA Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets10.3390/risks91102072227-9091https://doaj.org/article/f51a7814a71940d7b0475fc9a896a9922021-11-01T00:00:00Zhttps://www.mdpi.com/2227-9091/9/11/207https://doaj.org/toc/2227-9091The purpose of this paper is to investigate the viability as compared with other financial assets of cryptocurrencies as a currency or as an asset investment. This paper also aims to see which macro variable relates more to the price of cryptocurrencies, especially Bitcoin. Since the whole concept of cryptocurrencies is quite novel, an attempt has been made to briefly explain the underlying blockchain technology that forms the bedrock of cryptocurrencies. In this study, we use secondary data, i.e., the price history of Bitcoin from September 2014 to September 2021 for the last seven years, captured from trading exchanges. We predicted monthly returns of Bitcoin with that of Standard & Poor’s 500 Index (S&P 500), gold, and Treasury Bonds. Our findings show that Bitcoin has very high volatility compared to S&P 500, Gold and Treasury Bonds. Also, our findings show that there is a positive correlation between Bitcoin’s price volatility and the other three financial assets before and during COVID-19. Hence, Bitcoin is acting more as a speculative asset rather than a steady store of value. This can be drawn from the comparison with the debt market i.e., a Treasury Bond that invests in long-dated (30 years) US treasuries with which Bitcoin shows no relationship. The findings of this study could help with understanding the future of Bitcoin. This has important implications for Bitcoin investors. The current study contributes to the extant literature by providing empirical evidence on long-term social sustainability vis-à-vis supply chain traceability.Yianni DoumenisJavad IzadiPradeep DhamdhereEpameinondas KatsikasDimitrios KoufopoulosMDPI AGarticlecryptocurrenciesBitcoininvestment price volatilityInsuranceHG8011-9999ENRisks, Vol 9, Iss 207, p 207 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	cryptocurrencies Bitcoin investment price volatility Insurance HG8011-9999
spellingShingle	cryptocurrencies Bitcoin investment price volatility Insurance HG8011-9999 Yianni Doumenis Javad Izadi Pradeep Dhamdhere Epameinondas Katsikas Dimitrios Koufopoulos A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
description	The purpose of this paper is to investigate the viability as compared with other financial assets of cryptocurrencies as a currency or as an asset investment. This paper also aims to see which macro variable relates more to the price of cryptocurrencies, especially Bitcoin. Since the whole concept of cryptocurrencies is quite novel, an attempt has been made to briefly explain the underlying blockchain technology that forms the bedrock of cryptocurrencies. In this study, we use secondary data, i.e., the price history of Bitcoin from September 2014 to September 2021 for the last seven years, captured from trading exchanges. We predicted monthly returns of Bitcoin with that of Standard & Poor’s 500 Index (S&P 500), gold, and Treasury Bonds. Our findings show that Bitcoin has very high volatility compared to S&P 500, Gold and Treasury Bonds. Also, our findings show that there is a positive correlation between Bitcoin’s price volatility and the other three financial assets before and during COVID-19. Hence, Bitcoin is acting more as a speculative asset rather than a steady store of value. This can be drawn from the comparison with the debt market i.e., a Treasury Bond that invests in long-dated (30 years) US treasuries with which Bitcoin shows no relationship. The findings of this study could help with understanding the future of Bitcoin. This has important implications for Bitcoin investors. The current study contributes to the extant literature by providing empirical evidence on long-term social sustainability vis-à-vis supply chain traceability.
format	article
author	Yianni Doumenis Javad Izadi Pradeep Dhamdhere Epameinondas Katsikas Dimitrios Koufopoulos
author_facet	Yianni Doumenis Javad Izadi Pradeep Dhamdhere Epameinondas Katsikas Dimitrios Koufopoulos
author_sort	Yianni Doumenis
title	A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
title_short	A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
title_full	A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
title_fullStr	A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
title_full_unstemmed	A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets
title_sort	critical analysis of volatility surprise in bitcoin cryptocurrency and other financial assets
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/f51a7814a71940d7b0475fc9a896a992
work_keys_str_mv	AT yiannidoumenis acriticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT javadizadi acriticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT pradeepdhamdhere acriticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT epameinondaskatsikas acriticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT dimitrioskoufopoulos acriticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT yiannidoumenis criticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT javadizadi criticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT pradeepdhamdhere criticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT epameinondaskatsikas criticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets AT dimitrioskoufopoulos criticalanalysisofvolatilitysurpriseinbitcoincryptocurrencyandotherfinancialassets
_version_	1718410563716907008

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

Ejemplares similares