Cryptoasset Returns: Statistical Properties and Implications for Asset Allocations

초록

We examine Bitcoin returns’ statistical properties and check whether these properties are consistent with the well-known stylized facts of asset returns for the period from January 2019 to May 2022. We find that Bitcoin exhibits price behaviors that correspond well to all the stylized facts of asset returns examined in the analyses. We also examine the returns of Tesla stock, NASDAQ index, and S&P500 index for comparison and find that they generally conform to the stylized facts examined. However, Tesla stock does not exhibit an asymmetric volatility feature, and the two indices show significant autocorrelations in low order time lags, which are inconsistent with the well-known stylized facts of asset returns. Based on these findings, we discuss the possible implications of cryptoassets for asset allocation processes. Cryptoassets provide some potential utilities for asset allocations, but only with several simultaneous limitations.

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