Examines asymmetric relations between returns and realized moments, suggesting investor behavior affects outcomes.
We examine the possible asymmetric relations between returns and changes in realized moments in the Bitcoin market by employing the quantile regression models (QRMs) which can account for investors’ heterogeneity. First, our findings confirm the existence of asymmetric return-volatility relation in the BTC market. Second, regarding the relations between returns and realized skewness, the negative and positive returns show larger impacts in lower and upper quantiles, respectively. Third, the relation between return and kurtosis exhibits similar asymmetric pattern to that of return-volatility. The empirical findings can be supported by behavioral theories including representative bias and affect heuristics.
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Wu et al. (2026) studied this question.
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