IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v99y2026ics1544612326004423.html

Beyond the random walk: Asymmetric and cross-correlated dynamics in cryptocurrencies

Author

Listed:
  • Kar, Asim
  • Nazlioglu, Elif Hilal
  • Kilic, Emre
  • Gormus, Alper
  • Gozbasi, Onur

Abstract

This study provides a novel application of quantile-panel persistence method to evaluate state-dependent predictability in major cryptocurrency prices while accounting for cross-sectional dependence. Although conventional mean-based tests suggest mean reversion on average, the quantile evidence indicates a clear asymmetry: downside shocks are relatively transitory whereas upside shocks tend to persist, consistent with conditional departures from the random walk. Cross-sectional dependence is statistically significant across quantiles, reinforcing the importance of controlling for market-wide drivers in panel inference. Interpreted through a finance perspective, these results are consistent with state-dependent pricing dynamics in which demand pressures, liquidity conditions, and common market shocks shape adjustment across regimes. To assess economic significance, we translate the identified predictable states into two simple, rule-based trading overlays. Both strategies frequently improve risk‑adjusted performance relative to buy‑and‑hold, indicating that distribution‑aware persistence measures can be mapped into implementable allocation rules without relying on aggressive directional positioning.

Suggested Citation

  • Kar, Asim & Nazlioglu, Elif Hilal & Kilic, Emre & Gormus, Alper & Gozbasi, Onur, 2026. "Beyond the random walk: Asymmetric and cross-correlated dynamics in cryptocurrencies," Finance Research Letters, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:finlet:v:99:y:2026:i:c:s1544612326004423
    DOI: 10.1016/j.frl.2026.109913
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612326004423
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2026.109913?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F3 - International Economics - - International Finance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:99:y:2026:i:c:s1544612326004423. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.