Blockchain Papers

Thi Ngoc Lan Le, Emmanuel Joel Aikins Abakah, Aviral Kumar Tiwari

No abstract is available for this record.

Christy Dwita Mariana, Irwan Adi Ekaputra, Zaäfri A. Husodo

No abstract is available for this record.

Ahmed Jeribi, Mohamed Fakhfekh

The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.

Mason Eugene McCoy, Shahram Rahimi

Trading cryptocurrencies (digital currencies) are currently performed by applying methods similar to what is applied to the stock market or commodities; however, these algorithms are not necessarily well-suited for predicting cryptocurrency prices. Unlike stock exchanges, which shut down for several hours or days at a time, digital currency prediction and trading seem to be of a more consistent and predictable nature. In this work, we benefit from sentiment analysis of tweets using both an existing sentiment analysis package and a manually tailored “objective analysis,” to calculate one impact value for each analysis every 15[Formula: see text]min. We then select the most appropriate training method by applying evolutionary techniques and discover the best subset of the generated features to include, as well as other parameters. One of the unique contributions of this work is the analysis of both English and Japanese tweets with a tailored “objective analysis” tool. This resulted in implementation of predictors which yielded 28% to 122% profit in a four-week simulation, much more than simply holding a digital currency for the same period of time.

Mert Baran Tunçel, Samet Gürsoy

21. yüzyıl toplumsal alanda birçok yeniliği beraberinde getirirken hiç şüphesiz küresel piyasalar açısından da değişim kaçınılmaz olmuştur. Bu değişikliklerden biri de piyasalardaki risk algısı olmuştur. Riskin yönetilmesi her geçen gün daha da önemli hale gelmektedir. Günümüzde uluslararası piyasalarda oluşan finansal risklerin ölçülmesine olanak tanıyan birçok risk endeksi olmakla birlikte en çok takip edilenlerden birinin de VIX korku endeksidir. Uluslararası yatırım kararı alınırken bu endeks yol gösterici olmakta ve özellikle finansal piyasalardaki fonların yönetilmesinde önemli rol oynamaktadır. Finansal piyasalarda ortaya çıkan başka bir yenilik ise kripto para piyasaları olurken, uluslararası yatırımcının ilgisi her geçen gün daha da artmakta ve hatta bu paralarla alışveriş yapılmasını özendiren kurumların sayısı da artış göstermektedir. Bu bağlamda Bitcoine olan bu ilgi bu çalışmanın da ortaya çıkmasında motivasyon kaynaklarından biri olmuştur. Bu çalışmada 06.08.2010 ile 06.01.2020 dönemleri arasında günlük Bitcoin fiyatları ile BİST100 ve VIX korku endeksi arasındaki nedensellik ilişkisi test edilmiştir. Öncelikli olarak yapısal kırılmayı dikkate alan Zivot-Andrews testi ile durağanlık sınanmış ve daha sonra Toda Yamamoto nedensellik analizi gerçekleştirilmiştir. Çalışmanın sonucunda Bitcoin fiyatlarının her iki değişken üzerinde anlamlı bir ilişki içinde olmadığı görülürken, VIX endeksinden BİST100 endeksine doğru tek yönlü bir nedensellik etkisi gerçekleştirdiği tespit edilmiştir.

Imran Yousaf, Shoaib Ali

Using intraday data, this study employs the VAR-DCC-GARCH model to examine return and volatility transmission among Bitcoin, Ethereum, and Litecoin during the pre-COVID-19 and COVID-19 periods. We find that the return spillovers differ across both periods for the Bitcoin-Ethereum, Bitcoin-Litecoin, and Ethereum-Litecoin pairs. The volatility transmission is not significant between cryptocurrencies during the pre-COVID-19 period. We also find that the volatility spillover is unidirectional from Bitcoin to Ethereum and bidirectional between Ethereum and Litecoin during the COVID-19 period. Moreover, volatility transmission is not significant between Bitcoin and Litecoin during the COVID-19 period. The dynamic conditional correlations between all pairs of cryptocurrencies are higher during the COVID-19 period than during the pre-COVID-19 period. Lastly, we compute the optimal portfolio weights, time-varying hedge ratios, and hedging effectiveness for all pairs of cryptocurrencies during the pre-COVID-19 and COVID-19 periods. Overall, our findings provide new insights into channels of information transmission, which may improve the investment decisions and trading strategies of portfolio investors during crisis and non-crisis periods.

Bekarys Martzhan

The emergence of cryptocurrency has introduced a transformative force in the global financial landscape, challenging the conventional structures of traditional financial markets. This paper explores the dynamic relationship between digital currencies and established financial systems, focusing on areas such as investment behavior, regulatory responses, market volatility, and the evolving role of financial institutions. It highlights how cryptocurrencies, particularly Bitcoin and Ethereum, have begun to influence asset allocation strategies, capital flows, and risk perceptions among investors. Furthermore, the paper examines the integration of blockchain technology in financial services and how its decentralized nature poses both opportunities and threats to conventional banking practices. While cryptocurrencies have opened up avenues for innovation and financial inclusion, their unregulated nature raises concerns regarding market stability and security. This study aims to provide a comprehensive understanding of the implications of cryptocurrency growth for traditional financial markets, suggesting the need for adaptive regulatory frameworks and strategic responses from financial institutions.

Khaled Lafi AL-Naif

This study aims to explore the Coronavirus disease (COVID-19) effects on gold and bitcoin prices variabilities and on the relationship between each of them, both prices are denominated in USD.The study period is divided into two groups, first group included 120 workdays before 30 January 2020 when WHO first declared COIVD-19 outbreak as a public health emergency of international concern, and the second group included 120 observations post that date. The period as a total extends from June. 24, 2019 to 22 of May 2020.To this end, the study used the appropriate statistical tools including stationery and unit root test, Levene's test for the equality of variances, correlation, least squares regression, and pairwise Granger causality test.The results of testing the equality of variances and homogeneity between each of the study groups before and after COVID 19 revealed a strong rejection of the null hypothesis of equal variances for gold but not bitcoin which was accepted. The results also indicate a significant relationship between gold and bitcoin before and after COVID-19, but the sign changed from negative to positive respectively.Finally, the study concludes that there were significant effects of COIVD-19 on gold but not bitcoin prices. These results are consistent with gold’s traditional role as a safe-haven in crises, and bitcoin as a ‘virtual gold’ which has some similarities, and likely to be complementary rather than in a competion with gold.

Yeguang Chi, Wenyan Hao

We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform much better than other models. Moreover, the EGARCH model's asymmetric term is positive and insignificant, which suggests that Bitcoin prices lack the asymmetric volatility response to past returns. Finally, we formulate an option trading strategy by exploiting the volatility spread between the GARCH volatility forecast and the option's implied volatility. We show that a simple volatility-spread trading strategy with delta-hedging can yield robust profits.

Abdelkader Derbali, Lamia Jamel, Monia, Ahmed

Purpose: The purpose of this paper is to examine empirically the spillover impacts between Bitcoin and the major energy commodities. Design/methodology/approach: To do so, we employ an asymmetric multivariate VAR-BEKK-AGARCH model to study spillover effects between Bitcoin and three energy commodities during the period from July 18, 2010 to June 30, 2018. Findings: The empirical findings show return spillovers from energy stock indices to Bitcoin. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlation. The little correlation of Bitcoin with the stock indices offers portfolio benefits. Our findings imply the importance of Bitcoin in portfolio construction and reflects the importance of diversification of portfolio between energy commodities and the crypto-currencies, mainly Bitcoin. Practical Implications: Bitcoin has qualified a fast development while across a time and several shareholders and investors are demonstrating importance in its possibility as a consolidative component of portfolio variation. Originality/value: The significant extension is the using of a recently established multivariate econometric method, VAR-BEKK-AGARCH, which is utilized to study the degree of incorporation in rapports of instability and return among Bitcoin and energy commodities.

Didik Djoko Susilo, Sugeng Wahyudi, Irene Rini Demi Pangestuti, Bayu Adi Nugroho · 5 authors

Previous studies have shown that cryptocurrencies could hedge equities. However, most of those studies did not take into account the recent cryptocurrencies bubbles in 2018 and domestic currencies. Therefore, this research aimed to study whether the hedge effectiveness of cryptocurrencies still exists. This research used five cryptocurrencies (bitcoin, ethereum, monero, ripple, and litecoin), equity indices (Indonesia, Malaysia, Vietnam, Thailand, and the Philippines), and iShares ETF MSCI World (developed world). Commodities-based hedging using iShares S&P GSCI Commodity-Indexed Trust was also analyzed as a comparison. The asymmetric generalized dynamic conditional correlation (AG-DCC) GARCH showed that one cryptocurrency could not significantly and consistently hedge equities while five equally weighted cryptocurrencies could marginally hedge equities. Meanwhile, the classical minimum variance model also showed that the hedge effectiveness of cryptocurrencies was insignificantly positive. Equity traders could add cryptocurrencies into portfolios when the purpose was to maximize the Sharpe ratio instead of hedging. Overall, commodities were the better hedge for Southeast Asia emerging markets.

Mahdieh Shamsi, Paul Cuffe

This paper proposes and discusses the idea of using nascent blockchain hosted prediction markets as a decentralised crowd sourcing method for renewable energy forecasting. This method is further used as a risk management and hedging tool against volatility in weather variables they depend on. While existing approaches have been centralised by nature, with limited sources of input data and models, prediction markets allow anyone to participate in forecasting by betting on an outcome and earning profits for correct results. Since they have mercenary motivations, these participants are most likely to provide reliable and accurate information. Moreover, renewable energy producers can participate in these prediction markets to hedge against low-income periods due to poor weather conditions. This paper delivers a conceptual framework to exploit prediction markets in a blockchain platform with the aim of forecasting and hedging of renewable energy sources. The potential financial gain from applying this approach has been demonstrated through a case study for a typical small wind power producer.

Česlovas Bartkus, Bilgehan Teki̇n

BITCOIN has a different criterion than traditional systems that pay in states’ currencies. This payment system is a complex scheme designed to facilitate the transfer of value between the parties. In this study, firstly, brief information about technical analysis, BITCOIN and behavioral finance is given. Then, in the literature part of the study, studies on BITCOIN prices in the context of behavioral finance and technical analysis are given. In this study, it is examined Relative Strength Index (RSI) availability in Bitcoin transactions and evaluate in the context of behavioral finance findings. For describing the risk of trading in Bitcoin, were chosen Value at Risk (VaR) ratio. In application part of the study it is supposed 1 Bitcoin “Buy” orders were opened when RSI was under 30 and closed when RSI was above 70. And also, 1 Bitcoin “Sell” orders were opened when RSI was above 70 and closed when it was under 30. All obtained data from trades was used for revealing results on accuracy, total profitability. Positive trades were divided by total trades and multiplied by 100 for calculation of accuracy. Period of research is 2015-01-01 till 2019-08-31. As a result of the study we see the effects of biases in Bitcoin transactions. It is observed the examples of conservatism, over and underreaction, status quo effect and loss aversion. And also it is determined in this study that RSI works better in stable market when traders play safer. In other words, RSI works better when conservatism wins over overreaction.

Emine SOYASLAN

Bu çalışmada, kripto para birimleri arasında piyasada en yüksek hacime sahip olan Bitcoin para biriminin BİST 100, BİST Banka ve BİST Teknoloji endeksi arasında kısa ve uzun dönemde bir ilişkiye sahip olup olmadıkları zaman serisi analiz yöntemleri ile incelenmiştir. Bu amaçla 21/04/2011 ile 11/02/2020 tarihleri arası Bitcoin, BİST 100, BİST Banka ve BİST Teknoloji endeksi değişlerin günlük verileri kullanılmıştır. Çalışmada elde edilen bulgulara göre %5 anlamlılık seviyesinde uzun dönemde Bitcoin fiyatı ile BİST 100 endeksi arasında denge ilişkisine sahipken BİST Banka ve BİST Teknoloji endeksi ile bir ilişkiye rastlanılmamıştır. Buna ilaveten Bitcoin fiyatı ile BİST 100, BİST Banka ve BİST Teknoloji endeksleri kısa dönemde %5 anlamlılık seviyesinde değerlendirildiğinde herhangi bir nedensellik ilişkisine rastlanılmamıştır. Bu bulgular doğrultusunda BİST 100 ile Bitcoin fiyatları arasında uzun dönemde bir ilişkiye sahip olmasından dolayı yatırımcılar açısından Bitcoin’in portföy çeşitlendirilmesinde şu an için riskli bir yatırım tercihi olduğu söylenebilirken bunun yanında uzun dönemde Bitcoin fiyatları ile BİST Banka ve BİST Teknoloji endeksi arasında uzun dönemde ilişkinin olmaması, Bitcoin’in portföy çeşitlendirilmesinde risksiz bir yatırım tercihi olabileceği söylenebilmektedir.

Zaghum Umar, Mariya Gubareva

No abstract is available for this record.

Muhammad Sheraz, Silvia Dedu

Bitcoin (BTC) is a digital currency that has gained significant attention from researchers. The aim of this paper consists in analyzing some stochastic models of fat-tail returns and risk models. The evidence of fat-tailed returns distribution for the BCH data is investigated, by performing a statistical analysis of Bitcoin Cash (BCH) in the U.S. dollar. By using daily Close, Open, Low, and High returns of BCH data series, the monthly-divided daily returns study describes further properties such as skewness, kurtosis, and correlation analysis. The results obtained prove that variance gamma distribution best fit the close, open and low returns, where high returns follow the generalized hyperbolic distribution. In addition, for the best-fitted fat-tailed returns distributions, several risk measures such as volatility, Value-at-Risk and Expected Shortfall measures are computed, analyzed and compared.

Nuri Avşarlıgil

Bu çalışma ile 2019 Aralık ayında Çin Halk Cumhuriyeti’nde ortaya çıkan ve 13 Ocak 2020 tarihinde Covid-19 olarak tanımlanan virüsün tüm Dünya’yı etkilemesi sonucunda, finansal piyasalarda yaşanan kırılma ve değişikliklerin incelenmesi amaçlanmaktadır. Salgın öncesi dönemde yapılan eş bütünleşme analizi sonrası West Texas Ham Petrol fiyatı (WTI), Bitcoin (BTC) ve Euro/Dolar paritesi (EUR) değişkenlerinin aralarında eş bütünleşme ilişkisi olmadığı görülürken, salgın sonrası dönemde ise üç değişken arasında anlamlı bir eş bütünleşme hareketi olduğu belirlenmiştir. Yani, salgın öncesi aralarında eş bütünleşik bir hareket olmayan BTC, EUR ve WTI arasında ortak bir davranış şekli gelişmiş ve eş bütünleşik hareket etmeye başlamışlardır. Salgın öncesi ve sonrası seriler açısından ortalamaların önemli ölçüde değiştiği ve WTI’daki değişimin BTC’de değişimin bir nedeni olduğu, bunun yanı sıra EUR’daki değişiminde WTI fiyatının da bir değişikliğe neden olduğu görülmüştür. Ayrıca yapısal kırılmalı birim kök testlerinden Zivot-Andrews birim kök testi sonucunda, hem WTI hem BTC hem de EUR için covid-19 salgını başlangıcında her hangi bir yapısal kırılma olmadığı sonucuna varılmıştır. İlerleyen dönemde, söz konusu değişkenlerin birbirleriyle olan ilişkilerinin incelenmesi, gerçekleşen dönüşümün devamlılığını anlayabilmek açısından oldukça önemlidir.

Muhammad Owais Qarni, Saqib Gulzar

This study examines the dynamic nature of return spillover across Bitcoins indices and foreign exchange pairs denominated in 6 major trading currencies. The findings of spillover index, Spillover Asymmetry Measure (SAM) and frequency connectedness methodologies indicate that return spillover across Bitcoin markets and foreign exchange pairs dominated in six major trading currencies is very low. The intra-market return spillover for the Bitcoin markets and foreign exchange pairs is found to be significant. Presence of asymmetry in the return spillover is also found. Evidence indicates that return spillover are dominated in short horizon, with significant spillover occurring within 4 days of an event. The low integration of Bitcoin markets with the foreign exchange markets provide significant implication for portfolio diversification and risk minimization.

Chrıstophe Schınckus, Dang Pham Thien Duy, Canh Phuc Nguyen

Through a data-driven analysis, namely network analysis, we investigate the relationships between all existing cryptocurrencies. Starting from the analysis of cryptocurrencies in 2013, we extend our study until July 2018 to study the interdependencies between 1636 cryptocurrencies. Our study shows that, although Bitcoin is the older and the most famous cryptocurrency, it does not appear as an influential asset on the virtual currency market. Our analysis also indicates a densification of the interconnections between virtual currencies, indicating that change of a single coin will likely influence many other coins. Interestingly, we also observe that the most influential cryptocurrencies for a year appear not to be influential the following year. Finally, cryptocurrencies tend to change their influence over time suggesting a short-term interdependence between them. JEL: G11, G12

Tetsuya Takaishi

While relevant stylized facts are observed for Bitcoin markets, we find a distinct property for the scaling behavior of the cumulative return distribution. For various assets, the tail index $μ$ of the cumulative return distribution exhibits $μ\approx 3$, which is referred to as "the inverse cubic law." On the other hand, that of the Bitcoin return is claimed to be $μ\approx 2$, which is known as "the inverse square law." We investigate the scaling properties using recent Bitcoin data and find that the tail index changes to $μ\approx 3$, which is consistent with the inverse cubic law. This suggests that some properties of the Bitcoin market could vary over time. We also investigate the autocorrelation of absolute returns and find that it is described by a power-law with two scaling exponents. By analyzing the absolute returns standardized by the realized volatility, we verify that the Bitcoin return time series is consistent with normal random variables with time-varying volatility.

Shaen Corbet, Yang Hou, Yang Hu, Les Oxley

The circumstances surrounding the outbreak of the COVID-19 pandemic have generated substantial international political strain as governments attempt to mitigate the widespread associated social and economic repercussions. One theory has focused on the potential for Chinese informational asymmetry. Using Chinese financial market data, we attempt to establish the scale and direction of information flows during multiple distinct phases of the development of the pandemic. Two specific results are identified. Firstly, the majority of domestically-traded Chinese stocks present evidence of significant information flows at a far earlier stage than internationally-traded comparatives, suggesting that domestic investors recognised the dangers associated with COVID-19 far in advance of the rest of the world. One potential explanation surrounds the view that the severity of domestically-reported Chinese news was not appropriately recognised by international investors. Secondly, while evidence of safe-haven and flight-to-safety behaviour is evident throughout traditional energy and precious metal markets, cryptocurrencies became informationally-synchronised with Chinese equity markets, indicating their use as an investor safe-haven. This is a particularly concerning outcome for international policy-maker and regulatory authorities due to the fragility of these developing markets.

Yang Hu, Yang Hou, Les Oxley

No abstract is available for this record.

Shaen Corbet, Paraskevi Katsiampa, Chi Keung Marco Lau

This paper studies causal relationships and the potential of improving conditional quantile forecasting between Bitcoin and seven altcoin markets as well as between Bitcoin and three mainstream assets, namely gold, oil, and the S&P500, by applying the Granger-causality in distribution and in quantiles tests. We find significant bidirectional causality between Bitcoin and all altcoins and assets considered in the two distribution tails. An enhanced forecast of Bitcoin price returns is thus derived by conditioning on altcoins or assets and vice versa during extreme market conditions. However, under normal market conditions the results for the centre of the distribution of the Bitcoin price returns conditional on altcoins depend on both the altcoin considered and quantile under investigation. We also find evidence that Bitcoin is not isolated from financial markets, while this developing financial asset is a strong safe-haven for oil and a weak safe-haven for S&P500, but it cannot be considered as either a weak or strong safe-haven for gold. Our results reveal a more complete relationship between Bitcoin and altcoins as well as financial assets than was previously considered.

Ender Demir, Serdar Simonyan, Conrado Diego García‐Gómez, Chi Keung Marco Lau

No abstract is available for this record.