Exploring asymmetries in cryptocurrency intraday returns and implied volatility: new evidence for high-frequency traders

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dc.contributor.authorMuhammad Mahmudul Karim
dc.contributor.authorMohamed Eskandar Shah Mohd Rasid
dc.contributor.authorAbu Hanifa Md. Noman
dc.contributor.authorLarisa Yarovaya
dc.date.accessioned2026-07-02T02:59:38Z
dc.date.available2026-07-02T02:59:38Z
dc.date.issued2024
dc.description.abstractThis paper aims to analyze the return-volatility relationship of Bitcoin and Ethereum across different return frequencies and all conditional quantiles of implied volatility, based on a unique 6.5 million observations. We employ the newly constructed Model-Free Implied Volatility (MFIV) of Bitcoin (BitVol) and Ethereum (EthVol) and use an asymmetric Quantile Regression Model (QRM) to capture the intraday asymmetric return-volatility relationship at different quantiles of the distribution of the dependent variable. Our findings show that the estimated coefficient using daily data is significant only at medium- to high-volatility regimes, while the esti mated coefficients using high-frequency data are highly significant across all volatility regimes. Moreover, our results indicate that the asymmetry varies across frequencies and quantiles, with weak asymmetric effects at low quantiles and high frequencies, and strong asymmetric effects at high quantiles and low frequencies. This study provides new insight, especially for high-frequency traders.en_US
dc.identifier.citationKarim, M. M., Mohd Rasid, M. E. S., Md. Noman, A, H., & Yarovaya, L. (2024). Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders. International Review of Financial Analysis. 96, https://doi.org/10.1016/j.irfa.2024.103617en_US
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2024.103617
dc.identifier.issn1057-5219
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/4313
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights© 2024 The Authors.
dc.sourceSEDONA
dc.subjectReturn-volatilityen_US
dc.subjectCryptocurrenciesen_US
dc.subjectAsymmetricen_US
dc.subjectQuintile regressionen_US
dc.subjectReturn frequenciesen_US
dc.titleExploring asymmetries in cryptocurrency intraday returns and implied volatility: new evidence for high-frequency tradersen_US
dc.typeJournal Articleen_US
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
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