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4,843 results · page 196 of 202
Dirk G. Baur, Thomas Dimpfl
No abstract is available for this record.
Igor Makarov, Antoinette Schoar
No abstract is available for this record.
Sven Thies, Péter Molnár
No abstract is available for this record.
Carlos Trucíos
No abstract is available for this record.
Thomas Walther, Tony Klein, Elie Bouri
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers.
Wang Chun Wei
In recent years, Tether issuances (or 'grants') have increased significantly, which correlated broadly with a significant rise in Bitcoin valuation. This paper examines the impact of cryptocurrency issuances on subsequent cryptocurrency returns. It is argued that as Tether is the undisputed 'stable coin', the minting of new Tether acts similarly to monetary expansion in cryptocurrency markets, inflating the prices of Bitcoin. We construct a VAR model and show contrary to investor expectations, Tether issuances do not impact subsequent Bitcoin returns, however, they do impact traded volumes. We also document an increase in Tether trading following a subsequent decrease in Bitcoin returns. This illustrates investor preferences for lower volatility crypto-assets in periods following negative Bitcoin returns.
Dirk G. Baur, Thomas Dimpfl
Abstract In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995, J Finance , 50, pp. 1175–1199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27–35) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US‐based futures markets.
Efthymia Symitsi, Konstantinos Chalvatzis
No abstract is available for this record.
Emmanouil Platanakis, Andrew Urquhart
No abstract is available for this record.
Anton Kajtazi, Andrea Moro
No abstract is available for this record.
Halvor Aarhus Aalborg, Péter Molnár, Jon Erik de Vries
No abstract is available for this record.
Shaen Corbet, Brian M. Lucey, Maurice Peat, Samuel A. Vigne
No abstract is available for this record.
Lee A. Smales, Dirk G. Baur
No abstract is available for this record.
Andrew Urquhart
No abstract is available for this record.
Andrew Urquhart, Hanxiong Zhang
No abstract is available for this record.
Tony Klein, Hien Pham Thu, Thomas Walther
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more di?erent. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and ?nd di?erences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in ?nancial markets with ?ight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and ?nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally di?erent properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not re?ect any distinctive properties of Gold other than asymmetric response in variance.
John M. Griffin, Amin Shams
ABSTRACT This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in sizable increases in Bitcoin prices. The flow is attributable to one entity, clusters below round prices, induces asymmetric autocorrelations in Bitcoin, and suggests insufficient Tether reserves before month‐ends. Rather than demand from cash investors, these patterns are most consistent with the supply‐based hypothesis of unbacked digital money inflating cryptocurrency prices.
Viviane Y. Naïmy, Marianne R. Hayek
This paper is the first to forecast the volatility of the Bitcoin/USD exchange rate. It assesses and compares the predictive ability of the generalised autoregressive conditional heteroscedasticity (GARCH) (1,1), the exponentially weighted moving average (EWMA), and the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) (1,1). Models' parameters are first estimated from the in sample Bitcoin/USD exchange rate returns and in sample volatility is calculated. Out of sample volatility is forecasted afterward. Estimated volatilities are then compared to realised volatilities relying on error statistics, after which the models are ranked. The EGARCH (1,1) model outperforms the GARCH (1,1) and EWMA models in both in sample and out of sample contexts with increased accuracy in the out of sample period. Results show an original reflection concern with regard to the nature of the Bitcoin, which behaves differently than traditional currencies. Given the early-stage behaviour of the Bitcoin, results might change in the future.
Salim Lahmiri, Stelios Bekiros, Antonio Salvi
No abstract is available for this record.
Toan Luu Duc Huynh, Sang Phu Nguyen, Duy Duong
This paper examines the movement of cryptocurrencies’ return based on price. This volatility can spread to others of the same kind. Currently, the more cryptocurrencies are traded in market, the more chances are available for investors. The author wonders whether contagion risk among these cryptocurrencies happens or not in the event of crashing. We also introduce one empirical evidence of the mutual influence on these cryptocurrencies using Copulas approach. The findings show that all pairs have the structure dependence with Kendall-plots, particularly strong left tail dependence with Chi-plots. It also means the existence of contagion risk among these cryptocurrencies. The three methodologies namely Kendall-plots, Chi-plots and Copulas estimation produce consistent results. Therefore, the investors should carefully perform portfolio diversification to avoid contagious phenomenon.
Yonghong Jiang, He Nie, Weihua Ruan
No abstract is available for this record.
Cüneyt Dirican, İsmail Canöz
Purpose -Aiming to discover whether Bitcoin prices have an effect on investor decisions in stock market transactions sounds exciting. Therefore, among investment, money, payment system functionalities of the cryptocurrencies which are very popular on economic and financial agenda nowadays, only the investment function regarding to the market volume of Bitcoin (which is very popular) is taken into consideration in this study. Methodology -In the scope of the study, because similar analyses between cryptocurrencies and stock market indices do not exist in the literature, cointegration relation between them are examined. Thus, the cointegration between Bitcoin (since there are many cryptocurrencies and Bitcoin is very popular and has the highest proportion in all terms in general) and selected stock indices can be investigated by the ARDL boundary test method. Since the analysis method gives meaningful information in terms of different time periods, the price and index data of these variables have been analysed. Findings-Cointegration relationship between Bitcoin prices and leading US and Chinese stock market indices is observed. Within this context, it can be told that investors in these stock markets could be influenced by Bitcoin prices in their long-term investment decision process. Any relationship was not found with BIST100, FTSE100 and NIKKEI225 indices. Conclusion -Necessity to examine the relation among Bitcoin, cryptocurrencies and other investment instruments with payment systems, money, e-commerce figures and macroeconomic indicators in the light of the arguments and the results found in our analysis would add more value to the literature. In addition, other dimensions of this topic should be regulated and be analysed by new studies within the scope of other technological developments in the 4 th Industrial Revolution. It is also decided to analyse relationship among related Istanbul Stock Exchange sub-indices, the Turkish Lira, gold, money supply and other cryptocurrencies in the following/future studies.
Shaen Corbet, Grace McHugh, Andrew Meegan
The emergence of Bitcoin in 2009 has received considerable attention surrounding the validity of cryptocurrencies as a viable and, in some jurisdictions, a legal currency alternative. Despite widespread concern that these cryptocurrencies are fostering the environment within which a substantial bubble can occur, it is important to analyze whether these new assets are behaving similarly to major international currencies. This paper investigates the effects of international monetary policy changes on bitcoin returns using a GARCH (1.1) estimation model. The results indicate that monetary policy decisions based on interest rates taken by the Federal Open Market Committee in the United States significantly impact upon bitcoin returns. After controlling for international effects, we find significant evidence of volatility effects driven by United States, European Union, United Kingdom and Japanese quantitative easing announcements. These results show that, despite its nature and ideals, bitcoin seems to be subject to the same economic factors as traditional fiat currencies, and is not entirely unaffected by government policies. This result has implications for investors using bitcoin as a hedging or diversification tool. In addition, we contribute to the existing debate regarding the classification of bitcoin as an asset class, by illustrating that bitcoin volatility exhibits various reactions that bear resemblance to both currency pairs and store-of-value assets.
Aviral Kumar Tiwari, Rabin K. Jana, Debojyoti Das, David Roubaud
No abstract is available for this record.