Some stylized facts of the cryptocurrency market

ABSTRACT

We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

KEYWORDS:

• Stylized facts
• cryptocurrency market
• volatility clustering
• heavy tails
• autocorrelations
• long-range dependence

JEL CLASSIFICATION:

• G12
• G14

Acknowledgements

We thank two anonymous referees for useful suggestions that helped us improve the paper substantially. Any errors are ours. This work is supported by the National Natural Science Foundation of China (71701150, 71790594 and71532009), Young Elite Scientists Sponsorship Program by Tianjin (TJSQNTJ-2017-09) and Fundamental Research Funds for the Central Universities (63182064).

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ Data source: (1) https://coinmarketcap.com; (2) https://www.cnbc.com/2018/01/04/ripple-co-founder-is-now-richer-than-the-google-founders-on-paper.html.

Additional information

Funding

This work is supported by the National Natural Science Foundation of China (71701150, 71790594 and 71532009), Young Elite Scientists Sponsorship Program by Tianjin (TJSQNTJ-2017-09) and Fundamental Research Funds for the Central Universities (63182064).