Blockchain Papers

Ting Zeng, Mengying Yang, Yifan Shen

No abstract is available for this record.

Wajdi Moussa, Nidhal Mgadmi, Rym Regaïeg, Abdelhafidh Othmani

No abstract is available for this record.

Maurice Omane‐Adjepong, Paul Alagidede

No abstract is available for this record.

Gang‐Jin Wang, Xinyu Ma, Haoyu Wu

No abstract is available for this record.

George Moratis

No abstract is available for this record.

Marina Resta, Paolo Pagnottoni, Maria Elena De Giuli

In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January 2012 to 20 August 2019. Our findings suggest that, overall, trading on daily data is more profitable than going intraday. Furthermore, we concluded that the Buy and Hold strategy outperforms the examined alternatives on an intraday basis, while Simple Moving Averages yield the best performances when dealing with daily data.

Türker Teker, Ayşen Konuşkan, Vesile Ömürbek, İsmail BEKÇİ

Bitcoin, kripto paralar içinde, günlük işlem hacmi en yüksek olan kripto para birimi olarak ön plana çıkmaktadır. Bu çalışmada, hem bitcoin hem de kripto paralar hakkında küresel düzeyde yayınlanmış olan olumlu ve olumsuz haberlerin, bitcoin gün sonu kapanış fiyatları, gün içi bitcoin en yüksek fiyat seviyesi ve günlük bitcoin işlem hacimlerinde yarattığı değişim incelenmiştir. Çalışmada Mayıs 2018-Aralık 2018 arasında yahoofinance.com ve Bloomberg.com web sayfalarında bitcoin ve kripto paralar ile ilgili yayınlanan haberler değerlendirmeye alınmıştır. Çalışmadan elde edilen bulgular, kripto paralar ve bitcoin ile ilgili olumlu ve olumsuz çıkan haberlerin, bitcoin fiyatları ve işlem hacimleri üzerinde bir farklılaşmaya yol açmadığını ortaya koymaktadır.

Divya Aggarwal, Shabana Chandrasekaran, Balamurugan Annamalai

No abstract is available for this record.

Mohammad Hashemi Joo, Yuka Nishikawa, Krishnan Dandapani

Cryptocurrencies have gained popularity as new economic investment assets globally in recent years. This study examines market reactions to major news events associated with cryptocurrencies. Abnormal returns as well as cumulative abnormal returns (CARs) around major news announcements, both positive and negative, are investigated for three primary cryptocurrencies: Bitcoin, Ethereum, and Ripple. High abnormal returns are observed on the event day (Day 0), and CARs typically diverge during event windows of (−3, 6) and (0, 6), indicating that the information is not fully reflected in prices immediately after the news events. The CARs that linger for six days after an event suggest that the information flow in the cryptocurrency market is visibly slow. The magnitudes of CARs are larger for negative events than for positive events, implying that the market reaction to negative events is stronger than to positive announcements. The findings of this study may have crucial implications for investors, arbitragers and practitioners as we document evidence of potential trading opportunities for investors who initiate a trading position even after announcements.

Νikolaos Kyriazis

This paper sets out to explore whether Bitcoin can be considered as a globally accepted asset that has a resemblance to gold, which is widely considered to be the safest choice. An integrated overview of the empirical findings generated by the nascent but increasingly proliferating literature concerning the nexus between Bitcoin and gold is provided. The majority of evidence reveals that Bitcoin has a long way to go before it acquires the same characteristics as the safe-haven asset of gold. Overall, Bitcoin is found to be an efficient hedge against oil and stock market indices, but to a lesser extent than gold. Bitcoin presents low or negative correlations or an asymmetric non-linear linkage with gold. Despite sharing some common features with traditional assets, Bitcoin is found to be a good hedging asset in portfolios with gold. Moreover, evidence reveals that gold is a better and more stable safe-haven investment than Bitcoin.

Cinzia Baldan, Francesco Zen

The present work investigates the impact on financial intermediation of distributed ledger technology (DLT), which is usually associated with the blockchain technology and is at the base of the cryptocurrencies' development. "Bitcoin" is the expression of its main application since it was the first new currency that gained popularity some years after its release date and it is still the major cryptocurrency in the market. For this reason, the present analysis is focused on studying its price determination, which seems to be still almost unpredictable. We carry out an empirical analysis based on a cost of production model, trying to detect whether the Bitcoin price could be justified by and connected to the profits and costs associated with the mining effort. We construct a sample model, composed of the hardware devices employed in the mining process. After collecting the technical information required and computing a cost and a profit function for each period, an implied price for the Bitcoin value is derived. The interconnection between this price and the historical one is analyzed, adopting a Vector Autoregression (VAR) model. Our main results put on evidence that there aren't ultimate drivers for Bitcoin price; probably many factors should be expressed and studied at the same time, taking into account their variability and different relevance over time. It seems that the historical price fluctuated around the model (or implied) price until 2017, when the Bitcoin price significantly increased. During the last months of 2018, the prices seem to converge again, following a common path. In detail, we focus on the time window in which Bitcoin experienced its higher price volatility; the results suggest that it is disconnected from the one predicted by the model. These findings may depend on the particular features of the new cryptocurrencies, which have not been completely understood yet. In our opinion, there is not enough knowledge on cryptocurrencies to assert that Bitcoin price is (or is not) based on the profit and cost derived by the mining process, but these intrinsic characteristics must be considered, including other possible Bitcoin price drivers.

Beata Szetela, Grzegorz Mentel, Urszula Mentel, Yuriy Bilan

The crypto exchanges operate primarily on the internet, where the speed of information spreading is significant. Therefore, it is expected that there should be no significant differences among the individual exchanges concerning the same asset being traded. Prices should quickly reach comparable values on all stock exchanges, and they should return to equilibrium in a relative time frame. Hence, the investors, while making decisions on the selection of a cryptocurrency market, should be guided primarily by the exchange security considerations, its flexibility, availability of a product offer, and costs of order processing. The work aims to check whether virtual currency exchanges differ from each other in the context of directional movement, both in an upward and downward trend. To achieve the objective of the paper, we used Directional Movement Index, supported by the Directional Indicators, to compare the distribution of the strength of the directional movement across three different cryptocurrency exchanges (Bitstamp, Coinbase, Kraken) within the up and the downward price movement phase. The comparison is made based on the results of the non-parametrical tests such as Wilcoxon test, Hodges Lehmann test, Ansari-Bradley test, and Conover test. The results show that theoretically, the choice of a cryptocurrency exchange in an upward trend will cause no significant difference for an investor and its strategy. However, the choice of a stock exchange in a downward trend may have a substantial impact on the rates of return.

Nurkhodzha Akbulaev, Ilkin Mammadov, Mehbube Hemdullayeva

This article deals with the theory and practical analysis of the relationship between bitcoin and ethereum cryptocurrencies. The existing developments on this issue are investigated by generalizing the literature on the basic characteristics and relationship of bitcoin and ethereum prices. Based on the problems and existing research on the topic, the analysis of the relationship between ethereum and bitcoin prices is defined as the goal of the article. A mathematical model of the cryptocurrency relationship analysis is presented, which helps to establish that the relationship is quite close. The main result is the conclusion that a connection exists between the prices of bitcoin and ethereum, and this connection can be used for diversification and risk insurance when trading on the cryptocurrency exchange. The purpose of this article is to identify a tool that can describe the relationship between the price of ethereum and both its volume and the price of bitcoin and can predict their changes over time. This article analyzes the price of ethereum as dependent on the price of bitcoin. <b>TOPICS:</b>Currency, performance-measurement, portfolio construction, statistical methods <b>Key Findings</b> • The relationship between the price of ethereum and its volume and the price of bitcoin, as well as the ability to predict their change over time is analyzed. • The revealed multiple regression equation can be used to create operational analytical programs capable of real-time forecasting the price movement of ethereum.

Yongjing Shi, Aviral Kumar Tiwari, Giray Gözgör, Zhou Lu

No abstract is available for this record.

Tuotuo Qi, Tianmei Wang, Jianming Zhu, Ruyu Bai

Purpose The encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular. Because blockchain technology is the crucial support of bitcoin, exploring the relationship between bitcoin and the blockchain index is necessary. Design/methodology/approach This paper uses the Granger causality test to explore the correlation between bitcoin and the blockchain index. Furthermore, their volatility is analyzed by a GARCH-class model. Findings The results show that no significant correlation exists between bitcoin and the blockchain index; external shocks aggravate the volatility of bitcoin and the blockchain index, and the volatility has a certain degree of sustainability; and blockchain index has obvious leverage, namely, its decline has a stronger impact. Originality/value The volatility of bitcoin and the blockchain index is crucial for investors.

Mohsen Noroozinejad Farsangi, Farshid Keynia, Ehsan Noroozinejad Farsangi

Nowadays, accurate prediction of cryptocurrency price variation based on their important role in the world economy is an important and challenging issue. In this study, various parameters that affect the cryptocurrency value have been considered. For the first phase, four major price features of digital currencies have been analysed to determine the effect of each feature on the volatility prediction of future days. This study aims to understand and identify daily trends in the cryptocurrency market while gaining insight into optimal features surrounding their price. For the second phase, the price variation has been predicted with the highest possible accuracy with a new intelligent method. The proposed method consists of a neural network‐based prediction algorithm and particle swarm optimisation. The obtained results show the capbility of the proposed method.

Roy Cerqueti, Massimiliano Giacalone, Raffaele Mattera

Recently, cryptocurrencies have attracted a growing interest from investors,\npractitioners and researchers. Nevertheless, few studies have focused on the\npredictability of them. In this paper we propose a new and comprehensive study\nabout cryptocurrency market, evaluating the forecasting performance for three\nof the most important cryptocurrencies (Bitcoin, Ethereum and Litecoin) in\nterms of market capitalization. At this aim, we consider non-Gaussian GARCH\nvolatility models, which form a class of stochastic recursive systems commonly\nadopted for financial predictions. Results show that the best specification and\nforecasting accuracy are achieved under the Skewed Generalized Error\nDistribution when Bitcoin/USD and Litecoin/USD exchange rates are considered,\nwhile the best performances are obtained for skewed Distribution in the case of\nEthereum/USD exchange rate. The obtain findings state the effectiveness -- in\nterms of prediction performance -- of relaxing the normality assumption and\nconsidering skewed distributions.\n

Akther Uddin, Md Hakim Ali, Mansur Masih

Abstract This study explores whether Bitcoin constitutes as a hedging instrument whilst seeking portfolio diversification opportunities among sustainable, conventional and Islamic asset classes since Bitcoin emerges as a distinct alternative investment and asset class across the world. We apply multivariate generalised autoregressive conditional heteroscedastic‐dynamic conditional correlation and continuous wavelet transforms based on the recent data set ranging from August 18, 2011, to September 10, 2018. First, our findings show that Bitcoin returns are mean‐reverting which implies that its value tends to come down to mean value in the long run and not completely crushed to zero irrespective of price changes suggesting Bitcoin as a sustainable asset class. Second, the time‐invariant model shows that Bitcoin offers portfolio diversification opportunities with almost all equity indices, in particular, Dow Jones Islamic followed by FTSE 4 Good index. Finally, the time‐variant analysis reconfirms that Bitcoin offers portfolio diversification benefits both in the short and long run. These findings carry meaningful policy considerations for fund managers and cross‐country investors.

J. Benson Durham

Optimizations given historical data unsurprisingly produce sizeable allocations to Bitcoin (XBT). But further analyses of risks raise questions, even abstracting from expected returns. GARCH-based measures of dynamic XBT volatility and covariance suggest that optimal weights change over time. Also, quantile regressions indicate that conditional XBT returns with respect to the S&amp;P 500 are modestly positively skewed. Yet benevolent symmetry is hardly stable or consistent along the distribution. Spectral analysis shows that the XBT volatility primarily owes to higher-frequency cycles. Nonetheless, XBT betas are substantially greater, and notably positive, over longer cycles compared with shorter cycles, which implies that XBT has been a much less effective strategic hedge. Dynamic principal components analysis indicates that individual coins’ exposures to the “crypto market factor” have likely increased meaningfully enough over time to diminish diversification benefits. <b>TOPICS:</b>Currency, portfolio construction, portfolio theory <b>Key Findings</b> • Standard mean-variance portfolio optimizations given historical data unsurprisingly produce sizeable allocations to Bitcoin (XBT). But further analyses of risks raise questions, especially for passive investors and abstracting from expected returns. For example, GARCH-based measures of dynamic XBT volatility and covariance suggest that optimal portfolio weights change substantially over time. • Quantile regressions indicate that conditional XBT returns with respect to the S&amp;P 500 are modestly positively skewed, arguably unlike even safe-haven assets such as US Treasuries. However, this comparatively benevolent symmetry is hardly stable or consistent along the distribution. • Spectral analysis shows that the XBT volatility primarily owes to higher-frequency cycles, much like common asset classes. Nonetheless, XBT betas are substantially greater, and notably positive, over longer cycles compared with shorter cycles, which implies that XBT has been a much less effective strategic hedge. Also, dynamic principal components analysis indicates that individual coins’ exposures to the “crypto market factor” have likely increased meaningfully enough over time to diminish diversification benefits for passive investors.

Mina Sami, Wael Abdallah

The main goal of this study is to examine whether the cryptocurrency market impacts the stock market returns in the Gulf countries. Understanding this impact is quite interesting to clarify whether the cryptocurrency market and the stock market are substitutes or complements for investors. The author compiles the data on the stock market of the Gulf countries with the cryptocurrency data on a daily basis over the period 2014-2019. Generalized Method of Moments with Instrumental Variable (IV - GMM) approach has been implemented as the main strategy to fulfill the objective of the paper. The results of this paper show that the Stock market and the cryptocurrency market are substitutes for investors in Gulf countries. In fact, each 10 percent increase in the cryptocurrency returns is associated with a decline in the stock market returns by 0.17 percent. The cryptocurrency market hampers the stock market indices in the Gulf countries. Having agreed upon in the literature that the stock market is affected by fundamental factors, market sentiment, technical factors, and anomalies, this study offers robust evidence that the cryptocurrency should be introduced as one of the main determinants of stock market prices and returns.

Lee A. Smales

We utilise principal component analysis to determine whether a (small) set of factors can explain cryptocurrency returns and whether this varies over time. We find that a substantial proportion of cryptocurrency return variation is explained by a single principal component that is highly correlated with bitcoin returns. The explanatory power of this factor is greatest for larger cryptocurrencies and increases markedly in the most recent part of the sample. Our results have implications for investors determining optimal portfolio decisions and for policy‐makers wary of systemic risk.

Ida Musiałkowska, Agata Kliber, Katarzyna Świerczyńska, Paweł Marszałek

Purpose This paper aims to find, which of the assets: gold, oil or bitcoin can be considered a safe-haven for investors in a crisis-driven Venezuela. The authors look also at the governmental change of approach towards the use and mining of cryptocurrencies being one of the assets and potential applications of bitcoin as (quasi) money. Design/methodology/approach The authors collected the daily data (a period from 01 May 2014 to 31 July 2018) on the development of the following magnitudes: Caracas Stock Exchange main index: Índice Bursátil de Capitalisación (IBC) index; gold price in US dollars, the oil price in US dollars and Bitcoin price in bolivar fuerte (VEF) (LocalBitcoins). The authors estimated a threshold VAR model between IBC and each of the possible safe-haven assets, where the trigger variable was the IBC; then the authors modelled the residuals from the TVAR model using MGARCH model with dynamic conditional correlation. Findings The results show that that gold is a better safe-haven than oil for Venezuelan investors, while bitcoin can be considered a weak safe haven. Still, bitcoin can perform (to a certain extent) money functions in a crisis-driven country. Research limitations/implications Further research after the change of local currency from VEF into bolivar soberano might be looked at on the later stage. Practical implications The authors provide evidence on which of analysed asset is the best safe-haven for the investors acting in the time of the crisis. The evidence goes in line with other authors’ findings, thus, the results might bring implications for investors of more universal character. Additionally, the result might be helpful for governments and/or monetary authorities while projecting institutional frameworks and conducting monetary policy. Social implications The unprecedented economic crisis in Venezuela was one of the factors that fuelled the mining and use of cryptocurrencies in the daily life of its citizens. Nowadays, the country is a leader in terms of the use of bitcoin and other cryptocurrencies in Latin America. The results show a potential application of bitcoin as a store of value or even means of payments in Venezuelan (or in other countries affected by the crisis). Originality/value The paper builds on the original data set collected by the authors and brings evidence from the models the authors constructed to verify, which asset is the best option for investors in hard times of the crisis. The authors add to the existing literature on financial assets, cryptocurrencies and behaviour of investors under different economic conditions.

Lori Tzu Yi Yang

This study uses a smooth transition autoregressive model with exogenous variables (STARX) to investigate whether there is a nonlinear relationship between Bitcoin and Taiwan’s stock market taking into account Taiwan’s monetary policy threshold during 2 February 2012 to 31 August 2019. The statistical results show there is a threshold effect and confirm a nonlinear relationship between Taiwan’s stock market and Bitcoin, with variations over time and across Bitcoin and Taiwan’s stock market. Specifically, we find that Bitcoin responds asymmetrically to Taiwan’s stock market according to the threshold value. Furthermore, the return on the closing price of TAIEX with a lag of two periods under Taiwan’s monetary policy threshold has a nonlinear impact on the return on the closing price of Bitcoin.

Walid Mensi, Mobeen Ur Rehman, Debasish Maitra, Khamis Hamed Al‐Yahyaee · 5 authors

No abstract is available for this record.