Blockchain Papers

Mohammad Al‐Shboul, Ata Assaf, Khaled Mokni

No abstract is available for this record.

Jung‐Bin Su, Yu-Sheng Kao

This study examines how the COVID-19 pandemic crisis affects the interactions between the stock, oil, gold, currency, and cryptocurrency markets. The impacts of the COVID-19 pandemic crisis on the optimal asset allocation and optimal hedged strategy are also discussed. Empirical results show that the volatility spillover significantly exists in most of the ten paired markets whereas the return spillover and correlation are significant only for the few paired markets. Moreover, the impact of the COVID-19 pandemic on the return spillover is the greatest followed by the correlation whereas the volatility spillover is not affected by the COVID-19 pandemic. Furthermore, the Quantitative easing (QE) implemented after the COVID-19 pandemic crisis increases the risk-adjusted return for each asset and minimum variance portfolio (MVP) and raises the correlation between two assets. In addition, most of the pairs of assets are not suitable to hedge each other except for a few pairs of assets. Regarding these few pairs of assets, the optimal hedge asset with the fewer hedge cost is accompanied by less risk reduction and vice versa. Finally, the investors should choose the euro to construct a portfolio to achieve risk diversification and to hedge gold or WTI to get the risk reduction. The above findings can help investors and fund managers make a useful investment strategy, optimal asset allocation, and effective hedged strategy. For example, the investors can use the volatility of one market to predict the volatility of another market and they can take a long position during the post-COVID-19 period but they should withdraw capital from the market when the QE tapering is executed. JEL classification: C52; C53; G15.

Yosra Ghabri, Luu Duc Toan Huynh, Muhammad Ali Nasir

Abstract In the context of the COVID‐19's outbreak and its implications for the financial sector, this study analyses the aspect of hedging and safe‐haven under the pandemic. Drawing on the daily data from 02 August 2019 to 17 April 2020, our key findings suggest that the contagious effects in financial assets' returns significantly increased under COVID‐19, indicating exacerbated market risk. The connectedness spiked in the middle of March, consistent with lockdown timings in major economies. The effect became severe with the WHO's declaration of a pandemic, confirming negative news effects. The return connectedness suggests that COVID‐19 has been a catalyst of contagious effects on the financial markets. The crude oil and the government bonds are however not as much affected by the spillovers as their endogenous innovation. In terms of spillovers, we do find the safe‐haven function of Gold and Bitcoin. Comparatively, the safe‐haven effectiveness of Bitcoin is unstable over the pandemic. Whereas, GOLD is the most promising hedge and safe‐haven asset, as it remains robust during the current crisis of COVID‐19 and thus exhibits superiority over Bitcoin and Tether. Our findings are useful for investors, portfolio managers and policymakers interested in spillovers and safe havens during the current pandemic.

Runjia Gao

The Covid-19 pandemic has caused one of the most severe systematic shocks to global financial markets as investors discovered the sudden slumps in major global stocks indexes in March 2020. However, at the same time, the pandemic also accelerated the rise of decentralized finance and cryptocurrencies as the public began to shift their investments from traditional stock markets to the newly emerged fintech markets as the decentralized financial market’s risks hedging ability are believed to be better during global emergencies. Although it’s tempting to attribute these observed phenomena solely to the Covid-19 pandemic, other political shocks such as the US 2020 election and China’s crypto crackdown in 2021 also exacerbated the uncertainties and thus should be considered as potential reasons for the observations. Through theoretical analysis on financial and political economics as well as empirical modeling utilizing Stata17, this report has constructed a time series ARMA-GARCH model quantifying the relationship between Ethereum’s investment return and potential factors including the daily new confirmed cases of Covid-19 and other policy changes, and discovered for the first time that the rise of Ethereum’s investment return is majorly caused by the two aforementioned policy changes, and the rapid infection of Covid-19 only caused a short-term rise in Ethereum’s investment return whereas the daily new infection numbers of the later stage only caused fluctuations to the Ethereum trading market. Based on the findings, the article made recommendations for both policy makers and investors on crypto investments during the fintech era.

Nikolaos Giannellis

No abstract is available for this record.

Xuehong Zhu, Zibo Niu, Hongwei Zhang, Jiaxin Huang · 5 authors

No abstract is available for this record.

Juliet U. Elu, Miesha Williams

No abstract is available for this record.

Sudhi Sharma, Aviral Kumar Tiwari, Samia Nasreen

No abstract is available for this record.

Sisa Shiba, Juncal Cuñado, Rangan Gupta, Samrat Goswami

This paper examines the forecasting power of daily infectious disease-related uncertainty in predicting the realized volatility of nine foreign exchange futures and the Bitcoin futures series using the heterogeneous autoregressive realized variance model. Our results indicate that the infectious diseases-related uncertainty index plays a crucial role in predicting the future path of foreign exchange and Bitcoin futures realized volatility in all the selected time intervals. These findings have important implications for portfolio managers and investors during periods of high levels of uncertainty associated with infectious diseases.

Yulei Lian

At the beginning of 2020, the panic of Covid-19 had an excessive impact on global economics and the financial market. Based on the unit root test, this paper exposes the newly global Covid-19 confirmed cases and the rate of return of Ethereum and Bitcoin are stationary time series. This paper further completes the VAR model and ARMA-GARCH model. The VAR model examines the effect of newly confirmed cases on to rate of return of Bitcoin and Ethereum, and the ARMA-GARCH model scrutinizes the newly confirmed cases to the fluctuation of Bitcoin and Ethereum. This study found that the impact of the COVID-19 on cryptocurrency earnings was short-term, and did not improve the market volatility.

Waluyo Jati, Rachmawaty Rachmawaty, Holiawati Holiawati, Iman Syatoto

Indonesia has had the critical issue of economic growth in the last ten years which the trend of economic growth was declining year by year, in 2011 GDP growth YoY was 6.5% then declined become 5% in 2019 (before Covid-19 pandemic) and worst in Pandemic Era become -5.3%. This research aims to provide an understanding of the effect of short term and long term of Financial Innovation, Stock Market and Cryptocurrency on Indonesia's economic growth using the Vector Error Correction Model (VECM) method. The methode was chosen based on Stationary Analysis and Cointegration Test. It is shown that the data was non-Stationary and the result of Cointegration Test there was a conintegration at 0.05 level. Enrich with the analysis in Impulse Response and Variance Decomposition to obtain the fluctuated economic growth impacted by those variables on a monthly basis, which previous researchers have not researched. The results showed that the correlation of the Stock Market, Financial Innovation and Cryptocurrency to Indonesia's economic growth, in the long run, all the variables give a positive correlation. Still, in the short-run, only the stock market and economic growth give a positive correlation. The result of the long and short run of VECM is supported by Impulse response and variance decomposition that stock market has the most significant impact to economic growth

Hwang Kim

No abstract is available for this record.

Νikolaos Kyriazis, Stephanos Papadamou, Panayiotis Tzeremes, Shaen Corbet

This research investigates the effects of several measures of Twitter-based sentiment on cryptocurrencies during the COVID-19 pandemic. Innovative economic, as well as market uncertainty measures based on Tweets, along the lines of Baker et al. (2021), are employed in an attempt to measure how investor sentiment influences the returns and volatility of major cryptocurrencies, developing on non-linear Granger causality tests. Evidence suggests that Twitter-derived sentiment mainly influences Litecoin, Ethereum, Cardano and Ethereum Classic when considering mean estimates. Moreover, uncertainty measures non-linearly influence each cryptocurrency examined, at all quantiles except for Cardano at lower quantiles, and both Ripple and Stellar at both lower and higher quantiles. Cryptocurrencies with lower values are found to be unaffected by investor sentiment at extreme values, however, prove to be profitable due to more aligned investor behaviour.

Emrah İsmail Çevik, Samet Günay, Mehmet Fatih Buğan, Sel Dibooğlu

No abstract is available for this record.

Nidhal Mgadmi, Azza Béjaoui, Wajdi Moussa, Tarek Sadraoui

The purpose of our paper is to analyze the main factors which influence fiscal balance’s evolution and thereby identify solutions for configuring a sustainable fiscal policy. We have selected as independent variables some of the main macroeconomic measures, respectively public debt, unemployment rate, economy openness degree, population, consumer goods’ price index, current account balance, direct foreign investments and economic growth rate. Our research method uses two econometric models applied on a sample of 22 countries, respectively 14 developed and 8 emergent. The first model is a multiple regression and studies the connection between the fiscal balance and selected independent variables, whereas the second one uses first order differences and introduces economic freedom as a dummy variable to catch the dynamic influences of selected measures upon fiscal result. The time interval considered was 1999-2013. The results generated using the two models revealed that public debt, current account balance and economic growth significantly influence the fiscal balance. As a consequence, the governments need to plan and implement a fiscal policy which resonates with economy priorities and the phase of the economic cycle, as well as ensure a proper management of the public debt, stimulate sustainable economic growth and employment.

Zeeshan Fareed, Shujaat Abbas, Lívia Madureira, Zhenkun Wang

No abstract is available for this record.

Maryam Tavakkoli, Aliya Karim, Fabienne B. Fischer, Laura Monzón Llamas · 11 authors

Objectives: With the application of a systems thinking lens, we aimed to assess the national COVID-19 response across health systems components in Switzerland, Spain, Iran, and Pakistan. Methods: We conducted four case studies on the policy response of national health systems to the early phase of the COVID-19 pandemic. Selected countries include different health system typologies. We collected data prospectively for the period of January–July 2020 on 17 measures of the COVID-19 response recommended by the WHO that encompassed all health systems domains (governance, financing, health workforce, information, medicine and technology and service delivery). We further monitored contextual factors influencing their adoption or deployment. Results: The policies enacted coincided with a decrease in the COVID-19 transmission. However, there was inadequate communication and a perception that the measures were adverse to the economy, weakening political support for their continuation and leading to a rapid resurgence in transmission. Conclusion: Social pressure, religious beliefs, governance structure and level of administrative decentralization or global economic sanctions played a major role in how countries’ health systems could respond to the pandemic.

Syed Aun R. Rizvi, Mohsin Ali

This study examines whether Islamic gold-backed cryptocurrencies (Onegram and X8X) provide any diversification benefits to the Islamic investors of Indonesia. We study the co-movements between return and volatility of cryptocurrencies and Indonesian Islamic equity indices during the pre-COVID-19 and COVID-19 periods. We employ Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (M-GARCH-DCC) and Continuous Wavelet Transforms (CWT) for this study. We find that the COVID-19 crisis enhanced the spillover effect among the Islamic gold-backed cryptocurrencies and Islamic equities. We also provide evidence that Indonesian investors may invest in cryptocurrencies to minimize the equity sector risks during the pandemic. Our results bear significant implications for portfolio diversification strategies for Indonesian investors.

Michael Di, Ke Xu

No abstract is available for this record.

Pradipta Kumar Sahoo, Badri Narayan Rath

This study explores the causal relationship between COVID-19 pandemic and Bitcoin returns by applying the time and frequency domain Granger causality framework. We find that COVID-19 has a causal effect on Bitcoin returns across time. We further find that the causal effect of COVID-19 on Bitcoin returns, varies across different frequencies from short to medium and long term. From a policy perspective, investors need to be alert while investing in Bitcoin.

Miray ŞENGÜL, Batuhan Medetoğlu

Bu çalışma, algı yönetiminin Bitcoin fiyatlarına etkisini göstermek amacıyla gerçekleştirilmiştir. Algı yönetimi, çeşitli stratejiler uygulanarak hedeflenen düşüncelerin kitlelere kabul ettirilmesi şeklinde ifade edilmektedir. Küreselleşme ve dijitalleşmenin etkisiyle algı yönetiminin siyasetçiler, gazeteciler ve bireyler tarafından sıklıkla kullanıldığı gözlemlenmektedir. Algı yönetiminin günümüzde dijital medya olanaklarıyla gerçekleştirildiği ve düşüncelerin çeşitli platformlar aracılığı ile ifade edildiği görülmektedir. Kimi mecralarda manipülasyona neden olan algı yönetimi, genellikle kitleler tarafından izlenen kişilerce gerçekleştirilmektedir. Çalışmada, Elon Musk tarafından Twitter platformu üzerinden gerçekleştirilen paylaşımların, Bitcoin fiyatlarına etkisi gösterilmiştir. Çalışmada Musk tarafından gerçekleştirilen üç paylaşım ile o tarihlerde Bitcoin fiyat hareketliliği incelenmiştir. Çalışma sonucunda Musk tarafından gerçekleştirilen paylaşımlar ile Bitcoin fiyatları üzerinde gerçekleştirilen olumlu ve olumsuz algı yönetiminin doğrusal olduğu bulgusu elde edilmiştir. Özellikle belirtmek gerekir ki Bitcoin fiyatının düşüş ya da yükseliş hareketinde tek etkili olan faktör Musk’ın paylaşımları olmamakla beraber, bu paylaşımlar fiyatlara büyük oranda etki etmiştir. Daha sonra gerçekleştirilen çalışmalarda farklı kişilerce gerçekleştirilen algı yönetimi örneklerinin analiz edilmesi önerilmektedir.

Fang Xu, Elie Bouri, Oğuzhan Çepni

We examine whether the occurrence of jumps in the return of major cryptocurrencies increases the likelihood of jumps in the stock returns of blockchain and crypto-exposed US companies. We use two criteria to identify the US stocks with blockchain and cryptocurrency exposure; i) text search and ii) membership in the blockchain indices. We first detect that both asset classes are subject to jump behaviour. Then, we employ logistic regressions and show that the occurrence of jumps in some cryptocurrencies increases the probability of jumps in several blockchain and crypto-exposed companies. The co-jumping behaviour is not affected by the COVID-19 outbreak.

Debasish Maitra, Mobeen Ur Rehman, Saumya Ranjan Dash, Sang Hoon Kang

No abstract is available for this record.

Mohammad Al‐Shboul, Ata Assaf, Khaled Mokni

No abstract is available for this record.