You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Article
Title:
Excess Volatility in Bitcoin: Extreme Value Volatility Estimation
Contributor:
Kayal, Parthajit;
Balasubramanian, G.
Published:
SAGE Publications, 2021
Published in:
IIM Kozhikode Society & Management Review, 10 (2021) 2, Seite 222-231
Language:
English
DOI:
10.1177/2277975220987686
ISSN:
2277-9752;
2321-029X
Origination:
Footnote:
Description:
This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.