An Empirical Study of Volatility in Cryptocurrency Market

Gupta, Hemendra; Chaudhary, Rashmi

doi:10.3390/jrfm15110513

Cited by 22 publications

(10 citation statements)

References 35 publications

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“…Furthermore, our study focused on how the news (shocks) affect cryptocurrency market volatility, whereas Yang et al (2023) investigated the correlations between cryptocurrency return volatility, global stock market indices, and the COVID-19 pandemic's spillover effects. Gupta and Chaudhary (2022) also investigated the performance of Bitcoin, Ethereum, XRP, and Litecoin over a 5-year and 6-month period using the GARCH model family. However, when the data analyses measured volatility based on returns of 1 year only, the currency of XRP showed a positive sign effect, unlike the present research (Gupta and Chaudhary 2022).…”

Section: Discussionmentioning

confidence: 99%

“…Gupta and Chaudhary (2022) also investigated the performance of Bitcoin, Ethereum, XRP, and Litecoin over a 5-year and 6-month period using the GARCH model family. However, when the data analyses measured volatility based on returns of 1 year only, the currency of XRP showed a positive sign effect, unlike the present research (Gupta and Chaudhary 2022). This signifies that investors in XRP respond negatively in the long run to any adverse news regarding the given currency.…”

Section: Discussionmentioning

confidence: 99%

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Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Bhatnagar

Taneja

Rupeika-Apoga

2023

JRFM

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The cryptocurrency market has enormous growth potential. In this study, the aim is to investigate how the news (shocks) affects cryptocurrency market volatility. This is significant because, while cryptocurrencies are gaining popularity among investors, the market’s extreme volatility discourages some prospective buyers, while also causing large losses for inexperienced investors. From 8 March 2019 to 30 November 2022, data from Bitcoin, Binance Coin, Ethereum, Dogecoin, and XRP were collected for the current study. The E-GARCH model was applied to the framed dataset to achieve the research aim. We discovered that the value of the size factor for all currencies was statistically significant, indicating that the news (shocks) significantly impacts volatility. Furthermore, volatility persistence in all cryptocurrencies is found to be very high and statistically significant. These study findings can help investors understand the impact of the news (shocks) on volatility in cryptocurrency returns.

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Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Bhatnagar

Taneja

Rupeika-Apoga

2023

JRFM

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“…S1a for a visualization of the increasing number cryptoassets listed on CoinMarketCap since 2013]. These time series were automatically gathered using the cryptoCMD Python package 48 and other information such as the tags associated with each cryptoasset were obtained via the CoinMarketCap API 49 . In addition, we have also obtained the daily market capitalization time series (in USD) from all cryptoassets which had this information available at the time.…”

Section: Methodsmentioning

confidence: 99%

Age and market capitalization drive large price variations of cryptocurrencies

Pessa

Perc

Ribeiro

2023

Sci Rep

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Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations focused on understanding their statistical properties, such as the distribution of price returns. However, research so far has only considered Bitcoin or at most a few cryptocurrencies, whilst ignoring that price returns might depend on cryptocurrency age or be influenced by market capitalization. Here, we therefore present a comprehensive investigation of large price variations for more than seven thousand digital currencies and explore whether price returns change with the coming-of-age and growth of the cryptocurrency market. We find that tail distributions of price returns follow power-law functions over the entire history of the considered cryptocurrency portfolio, with typical exponents implying the absence of characteristic scales for price variations in about half of them. Moreover, these tail distributions are asymmetric as positive returns more often display smaller exponents, indicating that large positive price variations are more likely than negative ones. Our results further reveal that changes in the tail exponents are very often simultaneously related to cryptocurrency age and market capitalization or only to age, with only a minority of cryptoassets being affected just by market capitalization or neither of the two quantities. Lastly, we find that the trends in power-law exponents usually point to mixed directions, and that large price variations are likely to become less frequent only in about 28% of the cryptocurrencies as they age and grow in market capitalization.

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“…There are currently no established method for valuing crypto assets, making it difficult for tax authorities to determine the fair market value of crypto assets as their valuation highly depends upon attributes such as rarity, demand and supply, the utility of the asset, change in technology, change in metaverse economy and user preferences. There have been instances, such as in the case of the cryptocurrency such as Shiba Inu, Dogecoin, SafeMoon, BitConnect, etc., often called "meme coins", where valuations have fluctuated to unprecedented levels without any significant change in the position of the crypto asset (Hemendra and Chaudhary, 2022). Adding to this problem is the lack of acceptable accounting methods.…”

Section: Accounting Concerns In the Metaversementioning

confidence: 99%

Accounting meets metaverse: navigating the intersection between the real and virtual worlds

Pandey

Gilmour

2023

JFRA

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Purpose The “metaverse” is the new buzzword. With the phenomenal growth of the metaverse comes accounting, taxation and jurisdictional challenges, which business and governments have yet to fully address. This paper aims to highlight and rationalise the lack of regulatory framework and multiplicity of jurisdictions on metaverse transactions. This paper addresses some of the complications with respect to accounting and taxation in virtual environments. Design/methodology/approach This study relies on secondary data and emerging literature to understand the multiplicity of jurisdiction and complexity of the accounting transactions. The concept of the metaverse is rapidly evolving, and this study uses extant literature to provide the foundation for understanding the key challenges relating to accounting and taxation. Findings Concepts of revenue recognition and deferment are challenged by the transactions in the metaverse. There are novel applications, underpinned by emerging technologies and blockchain supporting new crypto assets, such as non-fungible tokens and other decentralised finance (DeFi) tools; however, the caveats of anonymity and jurisdictional issues persist. The paper suggests that the industry must adapt to the unique reporting requirements of these assets and develop new standards for evaluating their value for financial reporting purposes. The paper emphasises the need for a case-based approach in the absence of standardised regulations for the accounting industry in the metaverse. Originality/value This paper adds original contributions to extant literature of the metaverse and advances ongoing debates into the accounting and taxation issues pertinent to the metaverse and DeFi.

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An Empirical Study of Volatility in Cryptocurrency Market

Cited by 22 publications

References 35 publications

Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Age and market capitalization drive large price variations of cryptocurrencies

Accounting meets metaverse: navigating the intersection between the real and virtual worlds

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