Time‐Varying Skewness–Kurtosis Dynamics in Bitcoin Markets

Abstract

ABSTRACT This paper examines the relationship between skewness and kurtosis in Bitcoin spot and futures markets using high‐frequency data. We document a strong convex skewness–kurtosis relationship consistent with theoretical moment restrictions. Trading activity is positively associated with realized kurtosis, particularly in futures markets, though sensitive to specification and driven by extreme‐return episodes. Allowing the relationship to evolve over time reveals substantial curvature variation, indicating state‐dependent higher‐moment dynamics. The close co‐movement of results across markets suggests patterns reflect broad market‐wide conditions. The empirical framework is reduced‐form and results should be interpreted as conditional associations rather than causal effects.