Analysis of bitcoin volatility compared to other financial assets

Authors

  • Damià Rey Miró
  • David Alvaro Berlanga
  • Ricardo Palomo Zurdo

DOI:

https://doi.org/10.32826/reyf.v1i3.346

Keywords:

Central banks, Financial markets, Monetary policy, Volatility, Bitcoin, Garman Klass

Abstract

In the context of growing interest in digital assets and their implications for financial markets, this research addresses the volatility of both financial and digital assets in response to changes in central bank monetary policy. Using the trend component of the Garman and Klass estimator and its corresponding standardization with respect to market volume, it finds that Bitcoin's volatility has gradually decreased as monetary policies have changed, consolidating the path towards a traditional financial asset. Unlike Bitcoin, other cryptocurrencies analyzed maintained a standardized volatility profile similar to traditional financial assets. Despite regulatory uncertainty, Bitcoin shows a lower susceptibility to volatility compared to other cryptocurrencies, which could be interpreted as a sign of its legitimacy and acceptance in financial markets. Additionally, the research examines the potential role of central bank-issued digital currencies (CBDCs) in legitimizing the digital currency space and their possible effect on Bitcoin. The results contribute to a better understanding of the nature of digital assets and provide an argumentative basis for future research.

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Published

2024-02-20

Issue

Vol. 1 No. 3 (2023): Revista de Economía y Finanzas (September - December 2023)

Section

Articles

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