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The isotropy of cryptocurrency volatility

We examine the fractal volatility and long-range dependence of Bitcoin, Ether- eum, Tether and USD Coin by employing the continuous wavelet transform, maximal overlap discrete wavelet transform and rescaled range. Our dataset consists of daily prices spanning from January 2017 through to October 202...

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Main Authors: Hairudin, Aiman, Mohamad, Azhar
Format: Article
Language:English
Published: Wiley-Blackwell 2023
Subjects:
HG221 Bitcoin/Cryptocurrency/Block Chain
Online Access:http://irep.iium.edu.my/109783/1/Hairudin%20%26%20Mohamad%202023b.pdf
http://irep.iium.edu.my/109783/
https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2857
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spelling my.iium.irep.1097832024-05-17T07:56:09Z http://irep.iium.edu.my/109783/ The isotropy of cryptocurrency volatility Hairudin, Aiman Mohamad, Azhar HG221 Bitcoin/Cryptocurrency/Block Chain We examine the fractal volatility and long-range dependence of Bitcoin, Ether- eum, Tether and USD Coin by employing the continuous wavelet transform, maximal overlap discrete wavelet transform and rescaled range. Our dataset consists of daily prices spanning from January 2017 through to October 2022, encapsulating pre- and post-epidemic eras. Generally, our findings suggest that Tether presents the least overall volatility throughout the time-frequency spec- trum. USD Coin demonstrates ephemeral turbulence, contrary to Tether's maturity in influencing market equilibrium through token issuance and trade responses. In the post-epidemic sample, both stablecoins indicate mean rever- sion, with USD Coin showing marginally better efficiency. Conversely, invest- ment tokens display persistent clusters due to retail traders and long-term fundamental institutions. Although both tokens illustrate multifractal volatil- ity, Ethereum unveils more essence of self-similarity than Bitcoin. Hence, there is no evidence that Ethereum truly duplicates Bitcoin since policy-related events differ between them, as both return series move incongruously. Condi- tional dynamics signify that all cryptocurrencies, except Tether, were affected by the pandemic transition of COVID-19 and subsequent macroeconomic news. The unconditional volatility of stablecoins evinces zero-mean errors, antithetical to investment tokens exhibiting annual cycles. The fractal geome- try suggests that investment tokens simulate one-dimensional lines, whereas stablecoins mimic two-dimensional planes. Wiley-Blackwell 2023-07-04 Article PeerReviewed application/pdf en http://irep.iium.edu.my/109783/1/Hairudin%20%26%20Mohamad%202023b.pdf Hairudin, Aiman and Mohamad, Azhar (2023) The isotropy of cryptocurrency volatility. International Journal of Finance & Economics. pp. 1-32. ISSN 1076-9307 E-ISSN 1099-1158 https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2857 10.1002/ijfe.2857
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG221 Bitcoin/Cryptocurrency/Block Chain
spellingShingle HG221 Bitcoin/Cryptocurrency/Block Chain
Hairudin, Aiman
Mohamad, Azhar
The isotropy of cryptocurrency volatility
description We examine the fractal volatility and long-range dependence of Bitcoin, Ether- eum, Tether and USD Coin by employing the continuous wavelet transform, maximal overlap discrete wavelet transform and rescaled range. Our dataset consists of daily prices spanning from January 2017 through to October 2022, encapsulating pre- and post-epidemic eras. Generally, our findings suggest that Tether presents the least overall volatility throughout the time-frequency spec- trum. USD Coin demonstrates ephemeral turbulence, contrary to Tether's maturity in influencing market equilibrium through token issuance and trade responses. In the post-epidemic sample, both stablecoins indicate mean rever- sion, with USD Coin showing marginally better efficiency. Conversely, invest- ment tokens display persistent clusters due to retail traders and long-term fundamental institutions. Although both tokens illustrate multifractal volatil- ity, Ethereum unveils more essence of self-similarity than Bitcoin. Hence, there is no evidence that Ethereum truly duplicates Bitcoin since policy-related events differ between them, as both return series move incongruously. Condi- tional dynamics signify that all cryptocurrencies, except Tether, were affected by the pandemic transition of COVID-19 and subsequent macroeconomic news. The unconditional volatility of stablecoins evinces zero-mean errors, antithetical to investment tokens exhibiting annual cycles. The fractal geome- try suggests that investment tokens simulate one-dimensional lines, whereas stablecoins mimic two-dimensional planes.
format Article
author Hairudin, Aiman
Mohamad, Azhar
author_facet Hairudin, Aiman
Mohamad, Azhar
author_sort Hairudin, Aiman
title The isotropy of cryptocurrency volatility
title_short The isotropy of cryptocurrency volatility
title_full The isotropy of cryptocurrency volatility
title_fullStr The isotropy of cryptocurrency volatility
title_full_unstemmed The isotropy of cryptocurrency volatility
title_sort isotropy of cryptocurrency volatility
publisher Wiley-Blackwell
publishDate 2023
url http://irep.iium.edu.my/109783/1/Hairudin%20%26%20Mohamad%202023b.pdf
http://irep.iium.edu.my/109783/
https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2857
_version_ 1800081775901278208
score 13.211869

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