Abstract
This study investigates the relationship between the daily returns of cryptocurrencies and their realized performance measure and moments (variance, skewness, and kurtosis). Because the cryptocurrency returns are non-Gaussian distributions and perform bubble-like behaviors, we adopt the performance measure proposed by Schnytzer and Westreich (2013) to capture all informational content related to the distribution of a return. First, the empirical results revealed that there is a positive relationship between the realized performance measure and daily returns. Furthermore, this realized performance measure dominates the realized variance, skewness, and kurtosis in terms of affecting and predicting Bitcoin and Ethereum daily returns.
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