This paper investigates Bitcoinâs resilience against the U.S. dollarâwidely recognized as the global reserve currencyâby applying a multi-method wavelet analysis framework to daily price data of Bitcoin, the USD strength index (DXY), the euro, and other assets ranging from August 2015 to June 2024. Quantitative measuresâparticularly the Frobenius norm of wavelet coherence and an exponential decay phase-weighting schemeâreveal that Bitcoinâs out-of-phase relationship with the dollar is lower and more sporadic than that of mainstream assets, indicating it is not tightly governed by dollar fluctuations. Even after controlling for the euroâs dominant influence in the DXY, BTC continues to show weaker coupling than mainstream assetsâreinforcing the idea that it may serve as a partial hedge against dollar-driven volatility. These results support the hypothesis that Bitcoin may serve as a resilient store of value and hedge against dollar-driven market volatility, placing Bitcoin within the broader debate on global monetary frameworks. As global monetary conditions evolve, the resilience of Bitcoin (BTC) relative to the worldâs leading reserve currencyâthe U.S. dollarâhas significant implications for both investors and policymakers.
This study examines whether cryptocurrency markets offer more resilient safe haven properties than gold for stock markets in the BRICS economies from 28th April 2013 to 27th September 2024. Unlike traditional studies that primarily focus on Bitcoin or top-market cap cryptocurrencies , we introduce a novel Crypto index that includes 9468 active and defunct cryptocurrencies, providing a comprehensive view of daily market fluctuations across all listed crypto assets. We also investigate the impact of the Russia-Ukraine military conflict on the safe haven status of these assets. Using a time-varying robust Granger causality framework, we analyse the dynamic relationships between potential safe haven assets and BRICS stocks. Additionally, we explore the network structure of gold, cryptocurrencies, and BRICS stocks across different quantiles . Our results show limited evidence of time-invariant causality, but strong evidence of time-varying causality, suggesting that neither gold nor cryptocurrencies act as safe havens for BRICS stocks over the entire sample period. We find increased market interconnectedness during extreme conditions, with gold and cryptocurrencies initially acting as net receivers of shocks, but gold shifting to a net transmitter during the conflict, indicating stronger safe haven properties for gold. Portfolios favour gold over crypto, and small-cap cryptocurrencies are cheaper but less efficient hedges compared to large-cap cryptos, with Bitcoin emerging as the optimal investment for returns. These findings offer valuable insights for investors and policymakers, particularly for optimizing portfolio management and supporting financial stability during market turbulence.
Cryptocurrencies have emerged as a cornerstone of the digital transformation in the global economy during the last decades, introducing decentralized mechanisms that challenge the dominance of traditional financial systems. This innovation enhances transparency, security, and accessibility, while making financial systems more inclusive and efficient. Since the first inception of Bitcoin in 2009, the cryptocurrency landscape has expanded exponentially. By 2023, the combined market capitalization of over 22,000 cryptocurrencies exceeded $1 trillion, demonstrating their significant influence on financial markets. This study examines the dual nature of cryptocurrenciesâassessing their transformative potential and inherent risks. Using case studies, historical data, and technological advancements, it provides a balanced perspective on how cryptocurrencies can reshape financial systems, bridge economic inclusion gaps, and drive innovation.
Ratih Fitria Putri, Robert Marbun, Wulandari Harjanti
The rapid development of cryptocurrency investment has raised concerns regarding its impact on economic stability, particularly in emerging markets. This study employs a qualitative approach through literature review and library research to analyze the risks associated with cryptocurrency investments and their implications for financial stability. This research identifies key risk factors, including market volatility, regulatory uncertainty, cybersecurity threats, and financial system disruptions by examining existing scholarly works, regulatory frameworks, and market trends. The findings indicate that cryptocurrency investments offer opportunities for financial inclusion and economic diversification but also pose significant risks to economic stability due to price fluctuations and speculative behavior. Furthermore, the lack of a unified regulatory framework across different countries exacerbates these risks, leading to potential financial instability in emerging economies. The study highlights the necessity of regulatory intervention and policy formulation to mitigate these risks while harnessing the benefits of cryptocurrency investments. Governments and financial institutions in emerging markets must establish robust risk management strategies and regulatory frameworks to balance innovation and financial stability. This research contributes to the academic discourse by providing a comprehensive understanding of the relationship between cryptocurrency investments and economic stability in emerging markets. Future research should focus on empirical case studies to further explore the long-term effects of cryptocurrency investments on financial stability.
Using a variety of parametric and non-parametric tests, this study investigates the price effects of one-day abnormal returns and the day-of-the-week effect in selected non-fungible token (NFT) coins. The results, based on the data of four NFT coins (Mana, Theta, Enj, and Waxp) observed from January 2018 to July 2022, show that there are differences in pricing patterns across the four NFTs. First, NFT coinsâ prices tend to exhibit contrarian movements following one-day abnormal returns, especially in Theta, in line with the overreaction hypothesis. Second, the day-of-the-week effect is significant for Mana, where prices tend to abnormally increase during the weekend. Finally, trading strategies based on price patterns identified in Theta and Mana generate abnormal profits.
Pooja Kumari, Amit Shankar, Rsha Alghafes, Laura Broccardo ¡ 5 authors
ABSTRACT This study examined how Bitcoin, energy prices, and geopolitical risk interact by examining the first four moments (mean, variance, skewness, and kurtosis) of their return distributions by using wavelet analysis. The findings reveal that the coâmovement patterns of energy index, geopolitical risk index, and Bitcoin prices are time and frequency sensitive. During the turbulent period of 2020â2024, significant cross effect was observed at mediumâ and longâterm time scales in the relationship between the energy index and the geopolitical risk index. Similarly, in the case of Bitcoin and the geopolitical risk index, significant crossâeffects were detected at mediumâ and shortâterm time scales. From 2021 onwards, a strong coherence is observed at high and medium frequencies for all four moment pairs among Bitcoin, energy prices, and geopolitical risk. In terms of the Bitcoinâenergy relationship, significant coâmovement in mean and volatility is noted throughout most of the sample period and across different frequency bands. Moreover, crossâskewness and crossâkurtosis connections are more prominent at shortâ and mediumâterm horizons, especially during covid pandemic. These insights are valuable for investors and policymakers in risk management.
Suwan Long, Ying Xie, Zhengyuan Zhou, Brian M. Lucey ¡ 5 authors
This paper examines the relationship between cryptocurrency market dynamics and investor sentiment, employing advanced techniques like time-variant Granger causality and asymmetric time-varying parameter vector autoregression (TVP-VAR) frequency connectivity. We create unique sentiment analysis tools, including a custom cryptocurrency sentiment lexicon, to deeply analyze content in the cryptocurrency domain, particularly focusing on investor discussions and viewpoints. Our findings demonstrate a significant, evolving link between market sentiment and cryptocurrency movements. A key observation is that the volatility of shock transmission is tightly connected to major market events, often influenced by large-scale investors, or âwhalesâ. Our study indicates that market sentiment consistently affects both short- and long-term cryptocurrency volatility, underlining the crucial influence of investor sentiment in driving the dynamics of the cryptocurrency market. This underscores the importance of understanding investor sentiment for predicting and navigating the cryptocurrency market.
This study examines the impact of the coronavirus disease 2019 (COVID-19) pandemic on market efficiency by analyzing three time series -- price returns, absolute returns, and volatility increments -- in stock (Deutscher Aktienindex, Nikkei 225, Shanghai Stock Exchange (SSE), and Volatility Index) and cryptocurrency (Bitcoin and Ethereum) markets. The effect is found to vary by asset class and market. In the stock market, while the pandemic did not influence the Hurst exponent of volatility increments, it affected that of returns and absolute returns (except in the SSE, where returns remained unaffected). In the cryptocurrency market, the pandemic did not alter the Hurst exponent for any time series but influenced the strength of multifractality in returns and absolute returns. Some Hurst exponent time series exhibited a gradual decline over time, complicating the assessment of pandemic-related effects. Consequently, segmented analyses by pandemic periods may erroneously suggest an impact, warranting caution in period-based studies.
Chiara Oldani, Giovanni S. F. Bruno, Marcello Signorelli
This paper investigates the existence of bubbles in the daily prices of the most popular cryptocurrencies, Bitcoin (BTC), Ether (ETH), and Ripple (XRP), employing the recursive methods of Phillips et al. (2015) and Phillips et al. (2011) for testing and date-stamping episodes of exuberant behaviour over a period spanning seven years (2018â2024), including the COVID-19 pandemic crisis (2020â2021). The critical values of the tests are computed through the composite wild bootstrap technique by Phillips and Shi (2020) to make them robust to time-varying unconditional heteroscedasticity and the multiplicity issue in recursive tests. Results indicate that the prices of the most popular cryptocurrencies traded on decentralized ledgers, BTC and ETH, exhibited multiple episodes of exuberant behaviour, unambiguously for BTC and depending on the tests for ETH. Bubbles detected in the prices of BTC were due to the halving of the crypto, to market exuberance and to the pandemic crisis; bubbles detected on ETH prices were due to the launch of NFTs on the Ethereum blockchain, and to the change in investorsâ expectations (from exuberant to pessimistic); the change in the stance of monetary policy burst the bubbles of BTC and ETH prices in 2024. No test supports the exuberance of XRP that is traded on a centralized ledger; weekly data confirm the absence of multiple bubbles. By looking at the presence of bubbles in these different digital ecosystems, we also consider how the technological differences can impact, possibly asymmetrically, bubbles' formation.
We text-mine 2,125,788 posts on Bitcointalk.org from January 2014 to June 2024 to explore the link from differences of emotion among investors to Bitcoinâs extraordinary prices swings. The cross-sectional width of emotions, i.e. emotional difference, is statistically significantly associated with Bitcoinâs volatility. The least absolute shrinkage and selection operator (LASSO) method and the nonlinear iterative partial least squares (NIPALS) â variable importance-in-projection (VIP) algorithm also ascertain that Bitcoin prices may mainly reflect the view of highly emotional investors, making Bitcoinâs volatility more aligned with the cross-section of emotions. We do not argue that the profession needs to abandon the laissez-faire approach to cryptocurrencies. Rather, we call for investor education to mitigate individual-level psychological biases and emotional actions.
The development of the world economy, especially in Indonesia, cannot be separated from the element of information technology. The development of information technology will be related to all fields including the financial sector. Cryptocurrency or often referred to as virtual/digital currency is the result of the development of financial technology. Digital currency is starting to be widely used as a means of payment on the internet. The purpose of this currency is to provide convenience and security in payments. With the Blockchain technology in it, it makes transaction costs cheaper. However, the Government in this case Bank Indonesia prohibits transactions using digital/virtual money because it has a dangerous impact on the Financial System, Monetary Stability and Payment System in Indonesia. This study explains the impact of Cryptocurrency on the Indonesian Economy and the government's attitude towards the technology in it. In terms of the technology offered, cryptocurrency is a development of financial technology that allows paper money to be replaced with digital money in financial transactions in the future. It is hoped that the government can study the technology contained in cryptocurrency in more depth so that the policies made later do not prohibit the technology contained in cryptocurrency and provide knowledge to the public to better understand cryptocurrency.
ABSTRACT This study employed both bibliometric analysis and a comprehensive review of the existing literature to examine 3844 publications in cryptocurrency research, which were collected from the Web of Science Core Collection Database. The study has utilized bibliometric methods to analyze the most productive countries and regions, research institutions, and authors in cryptocurrency research. Cluster analysis of coâcitation articles indicates three main themes in cryptocurrency research over the past decade: the efficiency of the cryptocurrency market, innovation, application, and governance of blockchain technology as well as risk management of cryptocurrencies. Keyword coâoccurrence analysis reveals three major future research directions regarding cryptocurrency: (1) using machine learning methods to forecast price returns of cryptocurrencies; (2) how to enhance the security, legitimacy, and environmental sustainability of cryptocurrencies; (3) further exploration of the impact of various unexpected events on the risks of cryptocurrencies under global instability. In the section of literature review, two to three representative papers from the five mostâcited authors in cryptocurrency research are summarized. Additionally, 28 of the most noteworthy papers, selected based on three different criteria, are presented. These papers cover different periods and research topics, and a brief yet comprehensive overview of these 28 influential papers is provided.
ABSTRACT This study contributes to the literature on sustainable development by investigating the mechanisms through which green finance fosters sustainability in emerging economies. Given the increasing importance of artificial intelligence (AI) and renewable energy in environmental transitions, we explore their roles as mediators in the relationship between green finance and sustainability. Using a dataset covering 2015â2022, we apply Baron and Kenny's (1986) mediation approach combined with advanced econometric techniques to assess green finance's direct and indirect effects on sustainable development. Our findings reveal that green finance directly enhances sustainable development while significantly promoting AI and renewable energy capacity. However, once these mediators are included, the direct effect of green finance on sustainability weakens, indicating a partial mediation effect. Moreover, the study identifies the additional mediating role of AI in linking green finance to renewable energy capacity and amplifying its overall impact. These results highlight the critical interplay between green finance, AI, and renewable energy in achieving environmental and economic sustainability. Policymakers in emerging economies should prioritize green finance initiatives, invest in AIâdriven clean energy solutions, and support decentralized renewable energy projects to accelerate sustainability transitions.
Dirin Mchirgui, Mohammed Ali Sulyman Digheem, Fawzi Salem Adwela
This paper explores the interconnectedness and spillover relationships among Bitcoin, gold, gold-backed cryptocurrencies, and energy commodities during the COVID-19 pandemic and the Russia-Ukraine military conflict. Using a quantile connectedness approach, we reveal diverse influence dynamics among digital assets, with Gold, DGX, and PAXG emerging as key contributors to the networkâs total connectedness. Notably, the cTCI/TCI ratio underscores substantial direct linkages, emphasizing significant interconnections among digital assets. DGX acts as a principal information transmitter, while gas plays a crucial role as a primary receiver, suggesting its potential as a diversifier. The time-quantile analysis highlights heightened connectedness during significant events, providing valuable insights for investors and risk managers. Results underscore varying roles of assets, with PAXG persistently acting as a net transmitter and Bitcoin and Gold displaying nuanced patterns. Interestingly, Gold demonstrated certain safe haven characteristics only during the Russia-Ukraine war. The time-frequency analysis at the median quantile emphasizes the dominance of short-term dynamics, prompting the need for adaptive risk management strategies. Overall, this study facilitates a nuanced understanding of market dynamics, offering practical insights for different periods.
This paper investigates the temporal evolution of cryptocurrency time series using information measures such as complexity, entropy, and Fisher information. The main objective is to differentiate between various levels of randomness and chaos. The methodology was applied to 176 daily closing price time series of different cryptocurrencies, from October 2015 to October 2024, with more than 30 days of data and not completely null. Complexityâentropy causality plane (CECP) analysis reveals that daily cryptocurrency series with lengths of two years or less exhibit chaotic behavior, while those longer than two years display stochastic behavior. Most longer series resemble colored noise, with the parameter k varying between 0 and 2. Additionally, Natural Language Processing (NLP) analysis identified the most relevant terms in each white paper, facilitating a clustering method that resulted in four distinct clusters. However, no significant characteristics were found across these clusters in terms of the dynamics of the time series. This finding challenges the assumption that project narratives dictate market behavior. For this reason, investment recommendations should prioritize real-time informational metrics over whitepaper content.
This study explores the role of gold-backed cryptocurrencies (PAXG and XAUT) as effective diversifiers, hedges, and safe havens for NFTs and DeFi assets, particularly during market crises such as the COVID-19 pandemic and the 2022 cryptocurrency crash. By employing a dynamic GARCH-copula approach, the research analyzes the interconnectedness and volatility spillovers between these digital asset classes, providing insights into their behavior during times of heightened uncertainty. We also compute the optimal hedge ratio for each gold-backed cryptocurrencies/stabelcoins-NFT/DeFi/Traditional cryptocurrencies pair and evaluate their dynamic hedging effectiveness. The findings reveal that gold-backed cryptocurrencies offer superior hedging capabilities compared to stablecoins (USDT and BUSD), enhancing portfolio diversification and risk management. The results underscore the importance of incorporating gold-backed assets into digital portfolios to improve resilience and achieve better risk-adjusted returns during periods of market turmoil.