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Cryptocurrency volatility: A review, synthesis, and research agenda

Author

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  • Ahmed, Mohamed Shaker
  • El-Masry, Ahmed A.
  • Al-Maghyereh, Aktham I.
  • Kumar, Satish

Abstract

This paper takes part in the ongoing debate on the newly emerging field of financial technology by systematically reviewing 164 articles on cryptocurrency volatility during the period from 2016 to December 2022. This paper also aims to enlighten academics and practitioners about the beneficial insights gained from cryptocurrency volatility research, identify existing research gaps, and propose a new research agenda in the subject of study. To this end, realized volatility, almost all stylized facts, implied volatility, stochastic volatility, and drivers of volatility are discussed. Finally, we propose that future researchers concentrate on high-frequency data (i.e., hourly, minutely, and secondly), the use of machine learning models, crypto derivatives, crypto individual investor behavior, the impact of the new existence of institutional investors, stablecoins, and the evaluation of the forecasts of cryptocurrency volatility.

Suggested Citation

  • Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654
    DOI: 10.1016/j.ribaf.2024.102472
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    More about this item

    Keywords

    Cryptocurrencies; Bitcoin; Volatility; Financial risk; Review paper; Research agenda;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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