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The price of crypto-market volatility risk

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  • Han, SeungOh

Abstract

We examine the cross-sectional pricing of crypto-market volatility risk, measured as price sensitivity to the implied volatility index for Bitcoin options, from December 2021 to July 2024. Controlling for market, size, reversal, liquidity, and equity-market volatility risk factors, cryptocurrencies with intermediate crypto-market volatility risk yield a 5.221% higher five-factor-risk-adjusted weekly return compared to those with low or high risk, indicating a negative volatility risk premium for cryptocurrencies with extreme positive crypto-market volatility beta. This negative premium is partly explained by overvaluation of lottery-like cryptocurrencies. Results remain robust across cross-sectional tests of individual cryptocurrencies, various quantile portfolios, and alternative model specifications.

Suggested Citation

  • Han, SeungOh, 2026. "The price of crypto-market volatility risk," Research in International Business and Finance, Elsevier, vol. 86(C).
    • Handle: RePEc:eee:riibaf:v:86:y:2026:i:c:s0275531926001017
    DOI: 10.1016/j.ribaf.2026.103374
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