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4,843 results · page 116 of 202
Lei Wang, Yichao Ma, Zhu Liuzhu, Wang Xuli · 6 authors
No abstract is available for this record.
Diana M. Madiyarova, Nurselen Tamer
No abstract is available for this record.
Jakub Láža
This thesis explores the volatility connectedness between Bitcoin and economic uncertainty. We aim to model reactions of Bitcoin's volatility to shocks in economic uncertainty to uncover whether Bitcoin can provide protection from an economic unrest. The uncertainty is assessed from the media-based Eco- nomic Policy Uncertainty (EPU) Index, the market-based VIX Index and the public-based Economic Queries Related Uncertainty (EURQ) Index. Using the dynamic network connectedness measure, it is possible to track the time evolu- tion of directional volatility spillovers in each time point of our dataset spanning from April 2015 to February 2022. Our results show several significant periods when Bitcoin receives volatility spillovers from economic uncertainty. However, in most cases, the e ect is weak. One exception is the COVID-19 crisis, during which Bitcoin forms a substantial volatility connectedness with the VIX Index. We also show that before 2020, Bitcoin reacts to several shocks driven by the EPU Index. Further, amid inflation fears at the end of 2021, the volatility spillovers mainly originate from the EURQ Index.
Prabhjot Kaur, Mukesh Kumar Meena
Blockchain is used by different industries like banking, healthcare, law enforcement, IOT, online music, digital transfer, and real estate for transaction security purposes. Blockchain is becoming more sustainable day by day. The objective of this study is to determine the interdependence of major stock market indices and cryptocurrencies, offering investors a potential path for diversification. A quantitative study will investigate the interdependency of cryptocurrencies on different stock market indices. These are selected on the basis of high market capitalization. The research will be based on secondary data collection. Strong correlation between crypto and stocks has been seen in developing or emerging market nations, which have been at the forefront of crypto development and adoption. In 2020–21, for example, the correlation between returns of the MSCI emerging markets index and Bitcoin was 0.34, increased 17-fold from the previous years. Stronger correlation indicates that Bitcoin is becoming a risky investment. Its correlation with stocks has risen above than that with other assets such as gold, investment grade bonds, and major currencies, indicating that risk diversification benefits are limited, contrary to prior beliefs. Increased crypto-stock interconnectedness increases the risks of spillover of investor sentiment spillovers between asset classes. As a result, a severe drop in Bitcoin prices may encourage investor risk aversion, resulting in a drop in stock market investment. Spillovers from the S&P 500 to Bitcoin are on average of equal magnitude, implying that sentiment in one market is passed.
Surabhi Surabhi, Satish K. Mittal
When Bitcoin became one of the world's most popular investment options, the cryptocurrency industry has showed potential development, and it had a similar influence on the Indian financial sector too. Aside from Bitcoin, other altcoins are gaining popularity and dominating the cryptocurrency market. As a result, the goal of this research is to identify at the macroeconomic factors that influence Bitcoin prices, such as the USD/INR exchange rate, gold prices, crude oil prices, the New York Stock Exchange Dow Jones (NYSE) price, NIFTY price, and Sensex price, as well as the prices of nine alternative cryptocurrencies in the cryptocurrency market: Binance coin, Bitcoin Cash, Bitcoin SV, Ether, Ethereum, Litecoin, Monero, Tether, and ripple. Bitcoin volume and market capitalization are additional factors, undertaken in the study, that are potential influencers of cryptocurrency pricing. The time series data, which comprises of bi-weekly data for all variables, will be used from 2015 to 2020. The OLS (ordinary least square) regression model in EVIEWS will be used in this study to conduct an empirical analysis.
Maosen Tang
This study uses the DCC-GARCH model to compare the correlation between two types of cryptocurrencies in two different fields.In the context of the popularity of NFTs and the metaverse, new cryptocurrencies based on the metaverse have been favored by investors.Through empirical analysis of mana cryptocurrencies in the NFT market, we find that the new cryptocurrencies in the NFT market have high volatility to Bitcoin, Ethereum, and traditional cryptocurrencies in the past year.Therefore, we conclude that new cryptocurrencies are more likely to be one of the factors for portfolio diversification.
Yan Chenge
In recent years, the gold-bitcoin market and corresponding trading strategies have received more scholarly attentions. Predicting gold and bitcoin prices from historical data is a specific stream in this academic area. Many scholars have used financial methods or statistical methods to construct trading models. However, one of the limitations is that few previous studies combined both financial and statistical methods. Therefore, the present study aims to build a mathematical model that predicts price dynamics of gold and bitcoin and utilizes some connections between finance and statistics. To achieve this goal, some financial indicators were computed and Holt-Winters’ Model was applied. The research result shows that a trading strategy can be developed with the help of our proposed model and trading shrink ratio, which functions as the risk controller. The sensitivity test indicates that the proposed model has little sensitivity towards commission fees, which means that the model can be widely used in similar situations. In general, this study outlines an analytical approach to evaluate profits in gold-bitcoin market. Traders can generate considerable profits from the proposed trading strategy.
Noel Opala, Annika Fischer, Martin Svoboda
Cryptocurrencies show some properties that differ from typical financial instruments. For example, dynamic volatility, larger price jumps, and other market participants and their associated characteristics can be observed (Pardalos, Kotsireas, Guo, & Knottenbelt, 2020). Especially high tail risk (Sun, Dedahanov, Shin, & Li, 2021; Corbet, Meegan, Larkin, Lucey, & Yarovaya, 2018; Borri, 2019) leads to the question of whether the methods and procedures established in risk management are suitable for measuring the resulting market risks of cryptos appropriately. Therefore, we examine the risk measurement of Bitcoin, Ethereum, and Litecoin. In addition to the classic methods of market risk measurement, historical simulation, and the variance-covariance approach, we also use the extreme value theory to measure risk. Only the extreme value theory with the peaks-over-threshold method delivers satisfactory backtesting results at a confidence level of 99.9%. In the context of our analysis, the highly volatile market phase from January 2021 was crucial. In this, extreme deflections that have never been observed before in the time series have significantly influenced backtesting. Our paper underlines that critical market phases could not be sufficiently observed from the short time series, leading to adequate backtesting results under the standard market risk measurement. At the same time, the strength of the extreme value theory comes into play here and generates a preferable risk measurement.
Martin Nedved
Bitcoin is often compared to gold for its gold-like features such as a store of value, a limited supply, and a safe haven. However, due to Bitcoin's extreme price movements, investors might rather look for a safe haven against Bitcoin. In this thesis, we study such properties among traditional assets. Specifically, we analyze gold, oil, and stocks as safe havens for Bitcoin on a sample period from 2014 until March 2022. We find that gold acts as a strong safe haven suggesting gold's traditional role as a shelter during uncertainty holds also for this crypto asset. 1
Seungju Lee, Jaewook Lee, Yunyoung Lee
No abstract is available for this record.
Sarat Chandra Nayak, Sanjib Kumar Nayak, Sanjib Kumar Nayak, Sanjib Kumar Nayak
No abstract is available for this record.
Shariati, Kasra
Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. As bitcoin is becoming an alternative tool to hedge against inflation likewise to gold, the degree of uncertainty in bitcoin market is relatively high. Therefore, the study of causal relationship between gold and bitcoin markets has become appropriate since bitcoin has tremendous growth in its returns and shares many similarities with gold. Thereupon, this study reveals the evidence of Granger causality regression in different time spans to understand the relationship between gold and bitcoin. This relationship is beneficial to study since Granger causality hypothesis acknowledges whether gold’s historical prices are useful for forecasting the bitcoin market. Purpose: This study aims to analyze the relationship between gold and bitcoin market during an 8-year period from 2014 and 2022. Throughout this period, time spans which involves financial crises have been separated from the data set and tested separately to determine if there is a constant relationship between the variables. Through this, it has been intended to find the Granger causality link between gold and bitcoin market to see whether one is leading another one. Identifying the Granger causality correlation helps analyzing the patterns of correlation by using the empirical datasets, and to determine the strength of the Granger causal relationship’s nature between gold and bitcoin. Since the correlation itself does not explain why or how, but only if both markets move together, the Granger causality correlation between gold and bitcoin is the quantification of the impact that gold market performance has on bitcoin’s future price performance. Method: Since the collected data is time-series data, Augmented Dickey-Fuller tests have been conducted initially to the chosen tests. Following the results from ADF tests, Spearman’s Rho, iand Johansen’s Cointegration tests have been utilized to determine the long-term correlation between variables. Thereafter, Toda & Yamamoto and Dolado & Lütkepohl Granger Causality (TYDL-GC) method has been used to analyze the Granger causality link between the variables. Conclusion: The results of this study indicates that (i) no statistically significant correlation between gold and bitcoin market has been found according to the Spearman’s Rho test results, (ii) no long-term relationship has been found between gold and bitcoin according to cointegration test, (iii) gold does Granger Cause bitcoin prices. The evidence of causality link is unilateral from gold towards bitcoin market. Furthermore, it was observed that the Granger causality link weakens in short term and is not constant over time. The results fail to support the semi strong Efficient Market Hypothesis form. Thus, gold and bitcoin’s markets are efficient in the weak form but inefficient in the semi strong form. Since Granger causality has been found from gold towards bitcoin, one can construct a prediction model for bitcoin by using gold’s historical prices.
Nancy Youssef
In this paper, we investigate the link between the well-known traditional finance and economic asset class and the digital currencies. The present study is undertaken to investigate the impact of the COVID-19 on the Financial Markets and the four major Cryptocurrencies from January 2020 to May 2021 in Egypt and USA. On the process of investigating the impact of the COVID-19 on the financial markets the study assumes the COVID-19 cumulative cases, Death cases, and the Fatality ratio to be the independent variables, and the Stock returns for the two indices (EGX30 and S&P 500), and the Returns for the four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Tether) to be the dependent variables of the study. The study findings revealed that there is a negative relationship between the COVID-19 cumulative cases, and daily S&P 500 stock returns, and there is a negative relationship between COVID-19 cumulative cases, fatality ratio, and daily EGX30 stock returns. There is a positive relationship between COVID-19 world death cases and daily Bitcoin prices, daily Ethereum prices, and daily Litecoin prices. There is a negative relationship between COVID-19 world death cases and daily Tether prices because tether is the only important stable coin on the crypto market with significant market capitalization.
Rui Dias, Nicole Horta, Mariana Chambino, Paulo Alexandre · 5 authors
In this paper, we analyse the long memory process in the cryptocurrencies Bitcoin (BTC), Cardano (ADA), Binance Coin (BNB), Dogecoin (DOGE), Ethereum (ETH) and Ripple (XRP) from January 1st, 2018, to November 10th, 2022, which includes the 2020 and 2022 events. The results demonstrate that the daily returns are leptokurtic, and the distributions are non-Gaussian. We also observe non-linearity, implying autocorrelation or conditional heteroscedasticity in digital currencies. The DFA exponents reveal that throughout the Tranquil period, digital currencies with current values higher than 0.5 exhibited long memory in their returns. The BNB digital currency has an exponent of 0.5, indicating that the series were unpredictable throughout this period. As can be shown, all cryptocurrencies offer values of the DFA exponent greater than 0.5 in the Stress subperiod, implying that the higher the DFA exponent and closer to 1, the higher the persistence, as well as the autocorrelation between observations and stronger predictive ability. The findings support the evidence examined by the BDS test, namely that price movements are not i.i.d. (independent and identically distributed) and that investors have a high possibility of achieving above-average returns through arbitrage.
Pritpal Singh Bhullar, Pradeep Kumar Gupta, Dyal Bhatnagar
The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website of the World Health Organization. The weekly data on a dependent variable (Sensex) and control variables (crude oil, Bitcoin, Ethereum, Litecoin) have also been considered for the period under study. The GARCH(1, 1) model has been used to extract the volatility series of the variables that are considered in the investigation, and vector error correction model (VECM) is also applied. Further, robust tests like ADF, variance decomposition test, impulse response test have been performed to check the validity of the results. The findings suggest the significant negative effect of COVID-19 fatality cases on BSE Sensex stock index during the specified study period. This negative coefficient of COVID-19 fatality cases in India reflects the increasing volatility of the BSE Sensex stock index.
António Portugal Duarte
No abstract is available for this record.
Xun Sun, Xi Xiao, Wentao Xiao, Bin Zhang · 6 authors
No abstract is available for this record.
Antonio Díaz, Carlos Esparcia, Diego Huélamo
No abstract is available for this record.
Ivan Udalov, Almakul Abdimomynova, Svetlana Moldagulova
No abstract is available for this record.
Yosuke Kakinuma
No abstract is available for this record.
Yaodan Zhang
With the outbreak of the Russian-Ukrainian war, more and more Western countries have imposed sanctions on the assets of the Russian people overseas, which have triggered a crisis of confidence in the world's currency, the dollar.At this time, the popularity of Bitcoin has also resurfaced.People are starting to think about the future of Bitcoin.This paper starts from the basic technical means of bitcoin and discusses the possibility of the future development of bitcoin by analyzing the characteristics of bitcoin.We believe that although Bitcoin cannot become a world currency in the future, it can become an investment asset and a convenient means of payment.
Zhe Zhou
This paper aims to find the connectedness between cryptocurrencies and traditional assets. Using daily data of three representative cryptocurrencies and three traditional assets over the period August 2015 to July 2021, this study explores the cross-sector connectedness between the cryptocurrencies market and the traditional assets market. The result shows that connectedness varies over time and External events (COVID-19, oil crisis) have a significant impact on connectedness. Furthermore, traditional assets are relatively independent of each other. Cryptocurrencies, as the main transmitter, can affect each other. During some COVID-19 pandemic, cryptocurrencies can give great shocks to the traditional assets market. The result sparks some new insights for investors and policymakers.
Suwan Long, Ioannis Chatziantoniou, David Gabauer, Brian M. Lucey
No abstract is available for this record.
Kamilla Marchewka-Bartkowiak, Marcin Wiśniewski
The aim of the paper is to evaluate the investment attractiveness of selected energy tokens from the point of view of the effectiveness measures applied to ordinary financial instruments. The authors also classify energy tokens among climate-aligned tokens and digital instruments of green investments financing. In this way, it was possible to compare energy tokens against traditional financial instruments. Furthermore, the authors attempted to investigate the relationship between the formation of returns of the researched energy tokens and the returns on stock and commodity markets. The results of the study indicate the low investment attractiveness of energy tokens compared to investments in stock markets, commodity markets and investments in major cryptocurrencies such as Bitcoin and Ethereum. The research therefore indicates that buyers of energy tokens today should not be driven by investment or speculative motives but rather by a desire to obtain a means of clearing energy trading, or other utility.