What's left after the hype? : An empirical approach comparing the distributional properties of traditional and virtual currency exchange rates

Faculty/Professorship: University of Bamberg  
Author(s): Hempfing, Alexander 
Title of the Journal: PloS one
ISSN: 1932-6203
Publisher Information: San Francisco, California, US : PloS
Year of publication: 2019
Volume: 14
Issue: 7
Pages: 21
Language(s): English
DOI: 10.1371/journal.pone.0220070
This paper provides an empirical analysis of the distributional properties and statistical regularities of virtual, intra-virtual and traditional currency exchange rates. To perform the analysis, the most relevant virtual, intra-virtual and foreign currency exchange rates between October 2015 and December 2018 are examined. The analysis shows that, in spite of their differing mode of formation, daily log-returns of all currency types share tent-shaped empirical densities, one of the characteristics of a Laplace distribution at semi-log scale. This peculiar property has also been examined thoroughly in other fields of economic literature. Moreover, the empirical results show that virtual and traditional currencies hold the same functional form, even after the 2018 hype. However, in spite of these similarities virtual and intra-virtual currencies display fatter tails and steeper towering peaks than regular foreign currencies which underscores the rather speculative nature of this asset class.
GND Keywords: Virtuelle Währung; Wechselkurs; Inzidenz (Wirtschaft)
Keywords: currency exchange rates, virtual currencies, intra-virtual currencies
DDC Classification: 330 Economics  
650 Management & public relations  
RVK Classification: QK 305     QM 331   
Type: Article
URI: https://fis.uni-bamberg.de/handle/uniba/53632
Release Date: 28. March 2022