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Are shocks on the returns and volatility of cryptocurrencies really persistent?

Author

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  • Charfeddine, Lanouar
  • Maouchi, Youcef

Abstract

This letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter shows that the LRD behavior exhibited by the returns and volatility series of Bitcoin, Litecoin, and Ripple is a true behavior, and not a statistical artifact. As for Ethereum, the results show that the true LRD is only supported for the volatility series. Our results confirm the inefficiency of all the considered markets, with the exception of Ethereum.

Suggested Citation

  • Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430
    DOI: 10.1016/j.frl.2018.06.017
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    More about this item

    Keywords

    Cryptocurrencies; Returns; Volatility; True versus spurious behavior; Long range dependence; Structural changes;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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