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4,843 results · page 189 of 202
Michael J. Fell
Project 6.3.3 of the Centre for Research into Energy Demand Solutions will be a systematic study of the relationship between distributed ledger technology (e.g. blockchain)-enabled energy retail market structure and potential energy policy outcomes.
Thomas Ankenbrand, Denis Bieri
The cryptocurrency market has witnessed significant growth in the past few months. The emergence of hundreds of new digital currencies and the huge increase in the prices of their leading representatives have attracted a lot of attention from investors. However, the financial characteristics of the cryptocurrency markets have not been systematically evaluated yet. As a consequence, there is currently no consensus on whether cryptocurrencies constitute an individual asset class or if they share substantial similarities to stocks, bonds, commodities or foreign exchange. Based on Markowitz et al. (2017) this paper aims to fill this lack of research by evaluating the cryptocurrency market based on seven requirements of an individual asset class. The authors find that the cryptocurrency market distinguishes itself remarkably from established asset classes in terms of risk and return. Additionally, the low correlation between the cryptocurrency markets and these established asset classes induces a diversification potential for investors, leading to more favorable risk/return profiles of their portfolios. But also the emergence of investment services and products provided by the financial industry and the increasingly cost-effective access to cryptocurrencies corroborate the conclusion that cryptocurrencies can be seen as an individual asset class.
Elie Bouri, Chi Keung Marco Lau, Brian M. Lucey, David Roubaud
No abstract is available for this record.
Faisal Nazir Zargar, Dilip Kumar
No abstract is available for this record.
Obryan Poyser
No abstract is available for this record.
Tetsuya Takaishi, Takanori Adachi
No abstract is available for this record.
Irene Henriques, Perry Sadorsky
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a portfolio with gold to a portfolio with bitcoin. These results are robust to the inclusion of trading costs.
Antônio Carlos da Silva Filho, Natália Diniz Maganini, Eduardo Fonseca de Almeida
The recent emergence and use growth of cryptocurrencies based on Blockchain technology increased interest in the study of its economic dynamics and financial characteristics. Bitcoin is up to now the more widely known and disseminated cryptocurrency, with greater volume of transactions, market value and acceptance in exchange services. In order to contribute to the comprehension of the price behavior of the Bitcoin market, this study analyzes whether the historical series of prices of this currency, quoted every 12 h from September 14, 2011 to November 20, 2017 has multifractal behavior. The results of the research identified multifractal characteristics in the series and that both long-range correlations and fat tails distribution contribute to Bitcoin’s multifractal behavior. We compared the non-Gaussian properties and the multifractality degrees of Bitcoin series with the non-Gaussian properties and multifractality degrees of several stock market indices scattered around the world. In addition, we investigated the power of multifractal analysis in the study of volatility and forecast for this series, pointing to a possible use of multifractal parameters in Technical Analysis.
David Ardia, Keven Bluteau, Maxime Rüede
We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single–regime GARCH specifications in predicting one–day ahead Value–at–Risk (VaR). The Bayesian approach is used to estimate the model parameters and to compute the VaR forecasts. We find strong evidence of regime changes in the GARCH process and show that MSGARCH models outperform single–regime specifications when predicting the VaR.
Alexandra Piedad Cortez Ordoñez, Ana Belén Tulcanaza-Prieto
The new technological advances have brought a revolution on how economic agents interact with society and markets. Nowadays, the use of virtual currencies is more frequent in the financial transactions and bitcoin has been defined as the most important world cryptocurrency due to its high market capitalization and its technological infrastructure. Several studies have been conducted to discuss bitcoin advantages and disadvantages; however, few papers in literature have examined its connection and influence on the stock market. The objective of this paper is precisely cover this gap. Firstly, by providing tools and concepts to understand bitcoin’s dynamic, and then determining its relationship with stock market indexes. In that context, this manuscript examines the definition and function of bitcoin in the global world and its presence in Ecuador. Besides, exploratory and visual analyses are provided using the evolution of bitcoin and other market indexes. Finally, a linear correlation is computed between bitcoin, other cryptocurrencies, stock exchange indexes and commodities. The results in this study, employing visual and statistical analyses, demonstrated that bitcoin has: a strong relationship with other cryptocurrencies; a lineal correlation, not as strong as the previous one, with the main stock market indexes; and no linear correlation with commodities.
Jying‐Nan Wang, Yuan‐Teng Hsu, Chih‐Chun Chen
Abstract In this study, we apply the Bitcoin to estimate the price of the Venezuelan bolivar, due to the unreliability of this currency's official exchange rate. Our approach is based on the triangular no‐arbitrage condition and takes the Bitcoin as an intermediate currency. To verify its validity, in addition to bolivars, six currencies are first considered in the empirical study. We find that trading through the Bitcoin market produces higher transaction costs or requires higher risk compensation than trading through the conventional exchange market. Then, we explore the Venezuelan case. Comparing the estimates of the black market bolivars, which are generated from several popular media sources and the Web site Dolartoday.com, using Bitcoin can produce reliable bolivar exchange rates quickly and easily. To sum up, we verify the feasibility of using the triangular no‐arbitrage condition in foreign exchange markets to estimate exchange rates through the Bitcoin. This is especially useful when capital controls exist such as they do in Venezuela.
Tin-Chang Chang, Yung-Lin Chen
The recent increase in research on financial technology has resulted in transactions receiving considerable research attention. With the increasing importance of bitcoin, many related topics require further clarification. Because bitcoin is a popular financial asset, determining whether the price information is fully circulated among trading platforms has been the focus of many studies in recent years. The method for verifying the efficient market hypothesis relates to whether the price series is a random walk; that is, whether a unit root exists. According to the literature, whether the price of bitcoin satisfies the efficient market hypothesis remains controversial; however, these studies have not considered nonlinear data structures. To deal with the structural change of data, this study employed different unit root tests, namely the Zivot-Andrews unit root test and Kapetanios-Shin unit root test, to investigate bitcoins' relationship to the efficient market hypothesis. If the efficient market hypothesis is validated, the price formed by the bitcoin trading platform is close to a perfectly competitive mechanism, and the information can be quickly and completely reflected in the price, with information of different trading platforms having mutual influence. Therefore, this study applied the threshold vector autoregressive model to explore price information transmission between various trading platforms. The contribution of this research is its exploration of the financial tools derived from the highly developed fields of financial science and technology. This is helpful for providing new methods for completing financial transactions or a platform for speculators to engage in arbitrage.
Güleç, Ömer Faruk, Çevik, Emre, Bahadır, Nur
Kripto para birimleri teknolojinin gelişmesiyle birlikte son yıllarda önem kazanmış ve daha çok kullanılır hale gelmiştir. Merkezi bir otoriteye bağlı olmayan ve kriptografik sistemler ile güvenliği sağlanan bu para birimlerinden en bilineni Bitcoin’dir. Bu çalışmada, başlıca kripto para birimleri ve işleyiş süreçleri incelenmiştir. Buna ek olarak Bitcoin’in döviz, hisse senedi emtia piyasaları ve faiz ile olan ilişkisi ele alınmıştır. Çalışmada kullanılan veri setinin frekansı aylık olup Mart-2012 ile Mayıs-2018 dönemini kapsamaktadır. Zaman serisi yöntemlerinden Johansen Eşbütünleşme ve Granger Nedensellik analizleri uygulanmıştır. Çalışmanın sonuçlarına göre, Bitcoin fiyatlarının artan bir trende ve yüksek bir volatiliteye sahip olduğu görülmektedir. Faiz değişkeni ile Bitcoin fiyatları arasında diğer analizler ve Granger nedensellik testi sonuçlarına göre istatistiksel olarak anlamlı bir ilişki vardır.
Shewkat, Refk Selmi, Walid Mensi, Shawkat Hammoudeh · 5 authors
This study assesses the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against extreme oil price movements, in comparison to the corresponding roles of gold. We use a quantile-on-quantile regression approach to capture the dependence structure between the considered market returns under different Bitcoin market conditions, while considering nuances of oil price movements, compared to gold. Our findings show that both Bitcoin and gold would serve the roles of a hedge, a safe haven and a diversifier for oil price movements. However, this property seems to be sensitive to the Bitcoin's and gold's different (bear, normal or bull) market conditions and to whether the oil price is in a downside, normal or upside regime. By controlling for new and relevant U.S. and global uncertainty indicators, we confirm that both Bitcoin and gold, but not oil, are assets where investors may park their cash during times of political and economic turmoil. The conditional Value-at-Risk (CoVaR) approach to risk management is then conducted, providing robust evidence of the usefulness of each of the Bitcoin and gold in expanded oil portfolios, in terms of diversification opportunities and downside risk reductions.
Weiyi Liu
No abstract is available for this record.
Elie Bouri, Rangan Gupta, David Roubaud
No abstract is available for this record.
Walid Mensi, Khamis Hamed Al‐Yahyaee, Sang Hoon Kang
No abstract is available for this record.
Emmanouil Platanakis, Charles Sutcliffe, Andrew Urquhart
This paper contributes to the literature on cryptocurrencies by examining the performance of naïve (1/N) and optimal (Markowitz) diversification in a portfolio of four popular cryptocurrencies. We employ weekly data with weekly rebalancing and show there is very little to select between naïve diversification and optimal diversification. Our results hold for different levels of risk-aversion and an alternative estimation window.
Wei Zhang, Pengfei Wang, Xiao Li, Dehua Shen
No abstract is available for this record.
Cedric Mbanga
Following Urquhart (2017) who finds evidence of price clustering in Bitcoin, we answer the question of whether the documented price clustering in Bitcoin is driven by any given day-of-the-week. We find evidence that Bitcoin prices cluster around whole numbers more on Fridays and least on Mondays. We also show that Bitcoin price clustering around the top three most frequent two-digit decimals is primarily a Friday phenomenon.
Lanouar Charfeddine, Youcef Maouchi
This letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter shows that the LRD behavior exhibited by the returns and volatility series of Bitcoin, Litecoin, and Ripple is a true behavior, and not a statistical artifact. As for Ethereum, the results show that the true LRD is only supported for the volatility series. Our results confirm the inefficiency of all the considered markets, with the exception of Ethereum.
Afees A. Salisu, Idris A. Adediran
The study will be the first to offer empirical justification for time-varying stochastic volatility in Bitcoin returns. Specifically, it tests for time variation in both the trend and transitory components of the stochastic volatility using the unobserved components model that accounts for same. Thereafter, it calculates the Bayes factor using the approach of Chan (2018) which involves the Savage-Dickey density ratio in order to avoid the computation of the marginal likelihood. The results overwhelmingly support at least one time-varying stochastic volatility component in Bitcoin returns and the transitory component is favoured in this regard. These results are robust to different data frequencies.
Bundit Pinudom, Worathan Tungpisansampun, Roengchai Tansuchat, Paravee Maneejuk
This study analyses the effect of adding bitcoin into the portfolio by exploiting the Long Only investment strategy. The Portfolio consists of five assets: bitcoin, crude oil price index, stock exchange of Thailand (SET) price index, the exchange rate between Thai and USD and Thai government bond compound with treasurer bill. The model used for modelling the return of all asset is Multivariate t-copula based on GARCH and also measure the risk of the portfolio using the Value-at-risk (VaR) under the condition of minimizing the variance of return. We find that when adding more bitcoin into the portfolio, the return and risk of asset increased. If we only invest in bitcoin, we will face the risk at 16.90% and gain 6.27%. When comparing the effectiveness of portfolio by using Return-risk ratio, it found that portfolio with bitcoin shows the higher return rate than portfolios without bitcoin. Therefore, it can conclude that bitcoin could indeed increase the effectiveness of portfolio.
Mohammad Rabiul Islam, Rizal Mohd Nor, Imad Fakhri Taha Alshaikhli, Kabir Sardar Mohammad
Typically, electronic currency like digital or cryptocurrency both are influencing the world economy under the ledger technology, where as traditional fiat currency plays vital role in socio economy followed by conventional printing method. This review paper is basically focused on most influential facts behind the economical elements like the applicable operation via successful blockchain algorithm, architecture and mining operation based on contents from journal publications, online publications, news reports, seminars and workshops. Several aspects of crypto and fiat currencies are rolling on emerging economy, from this point, this paper tries to figure out how consensus algorithm and growing numbers of crypto and fiat currencies are performed with its existing pros and cons towards further developing process.