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Is idiosyncratic volatility priced in cryptocurrency markets?

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  • Zhang, Wei
  • Li, Yi

Abstract

This paper investigates how idiosyncratic volatility is priced in the cross-section of cryptocurrency returns. By conducting both portfolio-level analysis and Fama-MacBeth regression analysis, we demonstrate that idiosyncratic volatility is positively related to the expected returns of cryptocurrencies. This finding is not subsumed by effects of size, momentum, liquidity, volume, and price and is robust to different weighting schemes, holding periods, and sample sizes. Besides, we find no evidence of temporal relation between idiosyncratic volatility and returns in cryptocurrency markets.

Suggested Citation

  • Zhang, Wei & Li, Yi, 2020. "Is idiosyncratic volatility priced in cryptocurrency markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301926
    DOI: 10.1016/j.ribaf.2020.101252
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