On the Return-volatility Relationship in the Bitcoin Market Around the Price Crash of 2013

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price crash of 2013 and show a significant inverse relation between past shocks and volatility before the crash and no significant relation after. This finding shows that, prior to the price crash of December 2013, positive shocks increased the conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is contrary to what the authors observe in equities. As leverage effect and volatility feedback don’t adequately explain this reaction, they propose the safe-haven effect (Baur, Asymmetric volatility in the gold market, 2012). The authors highlight the benefits of adding Bitcoin to a US equity portfolio, especially in the pre-crash period. Robustness analyses show, among others, a negative relation between the US implied volatility index (VIX) and Bitcoin volatility. Those additional analyses further support their findings and provide useful information for economic actors who are interested in adding Bitcoin to their equity portfolios or are curious about the capabilities of Bitcoin as a financial asset.

研究者基于多币种计价的日度数据库，考察比特币（Bitcoin）市场的价格收益率与波动率变动之间的关联。全样本时段的分析结果并未显示比特币市场存在非对称的收益率-波动率关系。研究者进一步检验了2013年价格崩盘前后的收益率-波动率关系差异，结果发现崩盘前，过往市场冲击与波动率之间存在显著的反向关联，而崩盘后则无显著关联。这一结果表明，在2013年12月价格崩盘之前，正向市场冲击对条件波动率（conditional volatility）的提振幅度大于负向冲击。比特币对正向与负向冲击的这种反向非对称反应，与研究者在股票市场中观测到的现象相悖。由于杠杆效应（leverage effect）与波动率反馈（volatility feedback）机制无法充分解释这一反应，研究者提出了避险效应（safe-haven effect）（鲍尔，《黄金市场的非对称波动率》，2012）。研究者还强调了将比特币纳入美国股票投资组合的益处，尤其在崩盘前时段。稳健性检验（Robustness analyses）结果显示，除其他结论外，美国隐含波动率指数（VIX）与比特币波动率之间存在负向关联。这类补充分析进一步佐证了研究者的研究结论，并为有意将比特币纳入股票投资组合，或是好奇比特币作为金融资产表现的市场参与者提供了具有参考价值的信息。