Follow blockchain research across journals, conferences, and preprint repositories.
4,843 results ¡ page 117 of 202
Mohamed Yousfi, Younes Ben Zaied, Youssef TLICHE
No abstract is available for this record.
Judyta PrzyĹuska-Schmitt, Dorota Jegorow, Jaroslava BuÄkovĂĄ
Purpose: The aim of the article is a comparative analysis of selected cryptocurrencies and gold in the context of the SARS-CoV-2 coronavirus pandemic. Design/methodology/approach: The study covered the stock exchange of Gold and the four largest cryptocurrencies in terms of market capitalization: Bitcoin, Ethereum, Binance Coin, and Cardano. The data for the analysis for the period 2020-2021 was taken from the internet platform www.coinmarketcap.com, where all cryptocurrencies are published in daily intervals, and from the Investing website www.investing.com for Gold. The analysis of data in the form of time series was carried out, based on the assumption that successive values in the data set represent successive measurements made at equal time intervals. Findings: Our findings prove that the studied cryptocurrencies proved to be resistant to economic fluctuations related to the pandemic crisis. Originality/value: We present original scientific research that provides useful information in a practical dimension for investors interested in the cryptocurrency market and safe assets, and anyone interested in the specificity of the problem at hand.
Emmanuel Joel Aikins Abakah, Guglielmo Maria Caporale, Luis A. GilâAlana
No abstract is available for this record.
Dimitrios Koutsoupakis
With initial coin offerings and token offerings remaining at the forefront of alternative investments, the study of peer groups can be important for comparing investorsââŹâ˘ tastes and preferences for particular classes of cryptocurrency on a more equal footing. The aim of this paper is to identify violations of the weak-form market efficiency hypothesis for comparable cryptoassets that are conditional on market segmentation and those conditional on benchmarks. We use daily frequency data of 57 cryptocurrencies that account for more than 90% of the total market capitalization (market cap). We construct seven thematic market cap indexes that are able to represent the whole cryptocurrency universe. Against this background, we test for the presence of four empirical anomalies: risk premium, leverage, regime switch and calendar effects, both across and within these benchmark indexes. The main results support the existence of a switch between two states and positive excess returns toward the end of the week for both cases. Our methodology and findings contribute to the emerging literature on introducing active and passive portfolio management strategies that track benchmark crypto indexes.
Changqing Luo, Lurun Pan, Binwei Chen, Huiru Xu
No abstract is available for this record.
Feiran Chen, Yiming Wang, Jiayi Ma, Ruihan Ruan
No abstract is available for this record.
Yanjun Zuo
Renewable Energy Certificate (REC) is a market-based instrument and tracking mechanism for electricity generated from renewable sources as they flow into the power grid. The current REC issuance and tracking system is centralized, highly regulated, and operationally expensive. We proposed a blockchain-based, decentralized platform for REC issuance and trading by allowing greater traceability and transparency in transactions and reducing the operational costs of REC exchanges. The main design of the platform is to tokenize RECs and provides a decentralized, trustworthy mechanism for REC issuance, trading, verification, and retirement. The platform provides low costs, transparency, and easy to use. Representing RECs as blockchain tokens ensures that the trustworthy information is immutably recorded and available for all stakeholders to track and verify, thereby improving the reliability and security of the REC issuance and tracking systems. We present the design of the platform and detailed simulations of REC issuance and trading.
Brajaballav Kar, Chandrabhanu Das
No abstract is available for this record.
Leonardo Flach, Realdo de Oliveira, Jonatas Dutra Sallaberry, LuĂsa Karam de Mattos
No abstract is available for this record.
Refk Selmi
International audience
Chenyang Xu
Bitcoin's performance during the COVID-19 pandemic has drawn a lot of attention, with many researchers wondering whether bitcoin can act as a hedge against the stock market, and how exactly the COVID-19 pandemic has changed bitcoin's connection to the world. This paper aims to investigate the dynami
Hyeonoh Kim, Eojin Yi, Daeyong Lee, Kwangwon Ahn
This article examines the impact of technological changes to cryptocurrencyâknown as âforkingâ that triggers blockchain splitsâon market conditions. Despite the explicit distinction in log return distributions between the two splitting blockchains, adopting new technology does not result in a disparity in market conditions: no significant difference exists in market efficiency and longâterm market equilibrium between the two splitting blockchains. Technological changes accompanying market separation do not impede the underlying uniformity in market conditions. The findings suggest that mutual information flows linked to market liquidity explain the results between the new and old forks.
João Quental Gonçalves, JosÊ Alves
No abstract is available for this record.
Jingying Wei, Jiajun Chen, Zhanchao Zhou
As investment fever rises, investment strategy is a critical choice for investors. In this paper, based on the price data of gold and bitcoin from 9/11/2016 to 9/10/2021, the corresponding mathematical models are established by the LSTM, evaluation model, and single-objective optimization model in a
Simon Trimborn, Ying Chen, RayâBing Chen
No abstract is available for this record.
Najaf Iqbal, Sitara Karim, Brian M. Lucey, Muhammad Abubakr Naeem
No abstract is available for this record.
Julian Van Erlach
No abstract is available for this record.
ĺżé¨ é
No abstract is available for this record.
Abdelkader Derbali, Kamel Naoui, Lamia Jamel
No abstract is available for this record.
Vivien Czeczeli, Martin Vilonya
As the cryptocurrency market dynamically evolves, important financial and economic issues arise. The main focus of the present research is on the price of cryptocurrencies. Following the exploration of the literature base, special emphasis was put on the comparison between the crypto market and markets for different asset classes (gold, stocks, foreign currency) and on the identification of connection points. Next, the article focuses on the period after 2020, and applies the event study methodology in order to establish, how the two cryptocurrencies with the highest market capitalization (Bitcoin and Ethereum) reacted to selected events. These events mainly encompassed hacker attacks aimed at the systems that form the basis of the operation of cryptocurrencies, and also certain steps regarding their regulation and application. Overall, it was established that hacker attacks did not have a significant effect on the exchange rates of the two examined cryptocurrencies. Effects of regulatory action on prices are mixed, however even significant effects can be regarded as short-lived.
Ĺule ĂztĂźrk Birim, Filiz ErataĹ SĂśnmez
No abstract is available for this record.
Forbes Kaseke
The emergency of cryptocurrency has caused a shift in the financial markets. Although it was created as a currency for exchange, cryptocurrency has been shown to be an asset, with investors seeking to profit from it rather than using it as a medium of exchange. Despite being a financial asset, cryptocurrency has distinct, stylised facts like any other asset. Studying these stylised facts allows the creation of better-suited models to assist investors in making better data-driven decisions. The data used in this thesis was of three leading cryptocurrencies: Bitcoin, Ethereum, and Dogecoin and the Johannesburg Stock Exchange (JSE) data as a guide for comparison. The sample period was from 18 September 2017 to 27 May 2021. The goal was to research the stylised facts of cryptocurrencies and then create models that capture these stylised facts. The study developed risk-quantifying models for cryptocurrencies. The main findings were that cryptocurrency exhibits stylised facts that are well-known in financial data. However, the magnitude and frequency of these stylised facts tend to differ. For example, cryptocurrency is more volatile than stock returns. The volatility also tends to be more persistent than in stocks. The study also finds that cryptocurrency has a reverse leverage effect as opposed to the normal one, where past negative returns increase volatility more than past positive returns. The study also developed a hybrid GARCH model using the extreme value theorem for quantifying cryptocurrency risk. The results showed that the GJR-GARCH with GDP innovations could be used as an alternative model to calculate the VaR. The volatile nature of cryptocurrency was also compared with that of the JSE while accounting for structural breaks and while not accounting for them. The results showed that the cryptocurrenciesâ volatility patterns are similar but differ from those of the JSE. The cryptocurrency was also found to be an inefficient market. This finding means that some investors can take advantage of this inefficiency. The study also revealed that structural breaks affect volatility persistence. However, this persistence measure differs depending on the model used. Markov switching GARCH models were used to strengthen the structural break findings. The results showed that two-regime models outperform single-regime models. The VAR and DCC-GARCH models were also used to test the spillovers amongst the assets used. The results showed short-run spillovers from Bitcoin to Ethereum and long-run spillovers based on the DCC-GARCH. Lastly, factors affecting cryptocurrency adoption were discussed. The main reasons affecting mass adoption are the complexity that comes with the use of cryptocurrency and its high volatility. This study was critical as it gives investors an understanding of the nature and behaviour of cryptocurrency so that they know when and how to invest. It also helps policymakers and financial institutions decide how to treat or use cryptocurrency within the economy.
Samuel Asante Gyamerah, Collins Abaitey
<abstract><p>The Bitcoin futures market is growing and, as such, becoming more sophisticated. A small change in price may therefore have a large impact on the market. This paper investigates the propensity of 18 different competing GARCH family models and error distributions to model and forecast the volatility of Bitcoin futures returns. The study employs two different time periods (from January 2, 2018 to June 14, 2021; and March 11, 2020 to June 14, 2021). From the results, iGARCH(1, 1)-Students't-distribution (STD) is selected as the best performing model among the constructed models for the first period. By fitting the best three models from the first period to the second period, the iGARCH(1, 1)-STD is again selected as the optimal model. However, the iGARCH(1, 1)-normal inverse Gaussian (NIG) provides a significant variance forecast when used for in-sample and out-of-sample forecasts before the financial crisis and during the financial crisis, respectively. Our results indicate the impacts of past squared shocks on squared returns of Bitcoin futures and the ability of iGARCH(1, 1)-STD to capture such innovations and the propensity of iGARCH(1, 1)-NIG to optimally forecast the variance of Bitcoin futures returns.</p></abstract>
Đhmedin Lekpek
The great economic crisis has shown that the global financial system primarily protects those who are ,,too big to fail". In order to provide the common man at least a partial liberation from the hegemony of this bureaucratized and undemocratic system, Bitcoin was created, the first cryptocurrency that functions in a decentralized monetary system based on the blockchain. The emergence of cryptocurrencies, which are beyond the control of the traditional political and economic structures, has raised hopes that the world monetary system can be democratized and freed from the influence of inefficient regulatory institutions. This paper analyzes how realistic the scenario is that in the foreseeable future cryptocurrencies will prevail over traditional currencies, starting from the basic characteristics of cryptocurrencies, regulation of their accounting and tax status, mutual influence of monetary policy and cryptocurrency system, potential benefits that cryptocurrencies can offer to developing countries, as well as a summary of the advantages and disadvantages of cryptocurrencies and recommendations for their improvement.