The Skewness‐Kurtosis plane for cryptocurrencies' universe

Abstract

Abstract Cryptocurrency returns diverge excessively from normality, with the interrelationship of Skewness and Kurtosis being accordant with a parabolic form, yet this connection is scantly documented. We begin by demonstrating diagrammatically the attributes of the S‐K plane for cryptocurrencies. Moreover, by taking advantage of the panel structure of the data, we estimate a quadratic model for the S‐K plane. Then we investigate whether the type and the infrastructure of the cryptocurrency, as well as the period under examination, alter the architecture of the plane. We find that the squared Skewness of tokens substantially lowers the slope of Kurtosis, while the same applies to the earlier era of the market.