Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda

Mohamed  Shaker; Ahmed Elmasry; Aktham  Al-Maghyereh; Satish  Kumar

doi:10.1016/j.ribaf.2024.102472

Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda

Mohamed Shaker
, Ahmed Elmasry
, Aktham Al-Maghyereh
, Satish Kumar

Cairo University
Indian Institute Of Management–Bangalore
UBT - University of Business and Technology
United Arab Emirates University

Research output: Contribution to journal › Review article › peer-review

34 Citations (Scopus)

72 Downloads (Pure)

Abstract

This paper takes part in the ongoing debate on the newly emerging field of financial technology by systematically reviewing 164 articles on cryptocurrency volatility during the period from 2016 to December 2022. This paper also aims to enlighten academics and practitioners about the beneficial insights gained from cryptocurrency volatility research, identify existing research gaps, and propose a new research agenda in the subject of study. To this end, realized volatility, almost all stylized facts, implied volatility, stochastic volatility, and drivers of volatility are discussed. Finally, we propose that future researchers concentrate on high-frequency data (i.e., hourly, minutely, and secondly), the use of machine learning models, crypto derivatives, crypto individual investor behavior, the impact of the new existence of institutional investors, stablecoins, and the evaluation of the forecasts of cryptocurrency volatility.

Original language	English
Article number	102472
Number of pages	22
Journal	Research in International Business and Finance
Volume	71
Early online date	5 Jul 2024
DOIs	https://doi.org/10.1016/j.ribaf.2024.102472
Publication status	Published - 1 Aug 2024

Bibliographical note

© 2024 Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies.
Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright © and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders.

This document is the author’s post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it.

Keywords

Cryptocurrencies
Bitcoin
Volatility
Financial risk
Review paper
Research agenda

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10.1016/j.ribaf.2024.102472

Elmasr2024AAMAccepted author manuscript, 1.23 MBLicence: CC BY-NC-ND

Cite this

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Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda

Abstract

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