Asymmetric mean reversion of Bitcoin price returns

CORBET, S and KATSIAMPA, Paraskevi (2018). Asymmetric mean reversion of Bitcoin price returns. International Review of Financial Analysis. (In Press)

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Official URL: https://www.sciencedirect.com/science/article/pii/...
Link to published version:: https://doi.org/10.1016/j.irfa.2018.10.004
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    Abstract

    © 2018 Elsevier Inc. Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhibit similar asymmetric reverting patterns for minutely, hourly, daily and weekly returns between June 2010 and February 2018. We identify several differences in the behaviour of Bitcoin price returns in the pre- and post-$1000 sub-periods and evidence of asymmetric reverting patterns in the Bitcoin price returns under all the ANAR models employed, regardless of the data frequency considered. We also present evidence indicating stronger reverting behaviour of negative price returns in terms of both reverting speed and magnitude compared to positive returns and evidence of positive serial correlation with prior positive price returns. Finally, we also investigated asymmetries in Bitcoin price return series’ persistence by employing higher order ANAR models, finding evidence of a higher persistence of positive returns than negative returns, a result that further supports the existence of asymmetric reverting behaviour in the Bitcoin price returns.

    Item Type: Article
    Uncontrolled Keywords: 1502 Banking, Finance And Investment; 1501 Accounting, Auditing And Accountability; 1801 Law; Finance
    Identification Number: https://doi.org/10.1016/j.irfa.2018.10.004
    SWORD Depositor: Symplectic Elements
    Depositing User: Symplectic Elements
    Date Deposited: 14 Dec 2018 11:12
    Last Modified: 09 Apr 2020 01:20
    URI: http://shura.shu.ac.uk/id/eprint/23470

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