A0726
Title: Risk-return trade-off in the Bitcoin market: Downside risk and sentiment
Authors: Yin-Feng Gau - National Central University (Taiwan) [presenting]
Hann Chang - National Central University (Taiwan)
Abstract: Extending the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), the upside and downside risks of the Bitcoin returns in gauging the risk-return relationship in the Bitcoin market are estimated. Using the intraday data of Bitcoin prices from January 2018 to September 2022, the aim is to study how the risk-return relationship of Bitcoin relates to investor sentiment and risk shifts during the COVID-19 pandemic. The results show a significant and positive relationship between the downside risk and returns in the Bitcoin market, implying investors require higher returns to compensate for the downside risks. The positive relationship between returns and downside risk is even stronger during the COVID-19 pandemic.
