Blockchain Papers

Mohammad Abdullah, David Adeabah, Chi‐Chuan Lee, Emmanuel Joel Aikins Abakah · 5 authors

No abstract is available for this record.

Akwasi Adom-Dankwa, Francis Atsu, Emmanuel Numapau Gyamfi, Godfred Amewu · 5 authors

This study employs wavelet analysis to examine the contagion between cryptocurrency returns and sovereign bond yields within the West African Monetary Zone (WAMZ) economies, capturing both the frequency-dependent nature of the relationship and time-varying behavior. We analyze daily data spanning 01/26/2021 to 10/07/2022, with a total observable value of 444. The study selected periods of uncertainty within financial markets, namely, the COVID-19 pandemic and the Russia–Ukraine war because there was a need to understand how securities react during such times to help investors plan accordingly. Our results show a negative correlation between sovereign bond yields and cryptocurrency returns, suggesting that investors can use these asset classes as hedge agents, diversifiers, and safe-haven instruments. These findings provide valuable insights for investors and policymakers, shedding light on the potential interdependencies and diversification benefits between these two asset classes.

David Umoru, Beauty Igbinovia, Anthony Aziegbemin Ekeoba, Georgina Asemota · 5 authors

There has been an increase in curiosity about the relationship between the returns on Bitcoins and returns on exchange rates in the last few years. This is especially important since Bitcoin is becoming more and more well-liked as a substitute for fiat money. This study therefore estimates the dynamic impact of exchange rates and their returns on Bitcoin return and also the value-at-risk (VaR) associated with each exchange rate and Bitcoin. The variance series derived from an estimation of the variations between the current and historical prices of Bitcoin using the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model was used to compute data on Bitcoin volatility. Accordingly, return on Bitcoins was modelled as the natural logarithm of the difference between current day Bitcoin price and previous day price. The joint ARMA-FIGARCH models were estimated in this study to model the returns on Bitcoins transactions and currency trading rates based on time series from February 1, 2010 to August 30, 2024. The research findings underscore the presence of a significant dynamic adjustment of Bitcoin returns to exchange rate returns across all countries. This goes to indicate that there is a high possibility of incurring losses when making investments with digital currencies like Bitcoin. The originality of the paper lies on the fact the research assessed the effect of returns on currency exchange rates of rich countries and also estimated the dynamic effect of Bitcoin returns on exchange rates of the selected countries. The study establishes a substantial volatility feedback effect for returns on Bitcoins, whereas for each of the currencies, the incidence of a less significant volatility feedback effect was made evident. Investors in the foreign exchange market who chose to maximize profits at a lower risk, trading with the pound sterling/US dollar rate, the Euro/US dollar rate, the Australian dollar/US dollar rate; Canadian dollar/US dollar rate, Swiss Franc/dollar rate, New Zealand dollar/US dollar rate, and Luxembourg Franc/US dollar rate are profitable options. In policy circles, monitoring volatility dynamics is crucial for promoting forex market stability and investor confidence. This research benefits policy makers and marketers of financial assets in OECD countries.

Anam Ashraf, Surayya Jamal, Sonia Sethi, Humma Abid · 5 authors

This research paper discovers whether Bitcoin provides protection against inflation in Turkey which experienced hyperinflation and financial instability during covid-19. This topic gets attention after global economic fluctuations. Using stationarity tests, GARCH volatility models, and Quantile Regression analysis, the study finds that Bitcoin does not exhibit a consistent negative correlation with inflation. Instead, Bitcoin reacts more to monetary expansion (growth rate) and interest rate changes, behaving similarly to speculative risk assets rather than a stable store of value.The results suggest that Bitcoin is not a reliable inflation hedge but rather a liquidity-sensitive asset influenced by macroeconomic policies. While Bitcoin has seen increased adoption in hyper inflationary economy Turkey, its high volatility limits its effectiveness as a long-term inflation protector. Policy recommendations include strengthening financial regulations, implementing transparent risk disclosures for investors, exploring Central Bank Digital Currencies (CBDCs) as stable alternatives, and promoting diversified inflation-hedging strategies. The findings provide critical insights for policymakers, investors, and financial institutions regarding Bitcoin’s role in global economic stability and inflation management.

Izabela Pruchnicka-Grabias

The purpose of the paper is to present the results of the research on the potential inclusion of different types of crypto assets, such as Bitcoin, NFTs (Non-Fungible Tokens), and DeFi (Decentralised Finance), within optimal portfolios to help reduce variance or increase returns compared to equity investments. The analysis includes comparisons of different crypto assets and countries, specifically the Czech Republic, Hungary, and Poland. The author constructs optimal equity-crypto portfolios in the Markowitz environment for the period from 16 February 2021 to 8 January 2024, which was adjusted to NFT data availability from this date. Calculations are conducted under two scenarios: minimizing portfolio variance and maximizing returns. The research demonstrates that Bitcoin, NFTs and DeFi can be part of a well-diversified equity portfolio, primarily due to their low correlation with equity markets in the Czech Republic, Hungary and Poland. The paper is important for investors seeking diversification possibilities. Although diversification has been increasingly difficult recently due to increasing correlation coefficients between assets, new asset classes, such as crypto assets, have been created, offering new potential for portfolio creation. The conclusions drawn may also be vital for policymakers who should consider them when formulating regulations concerning systematic risk. The paper contributes value in four aspects. 1) The paper demonstrates that including NFTs, DeFi and Bitcoin in a stock portfolio creates diversification benefits for most portfolios. This is partially due to their slightly higher returns but mostly because of the lower risk that results from the low correlation of crypto assets with traditional markets. 2) Optimal shares of crypto assets differ depending on the equity and the crypto involved. 3) The paper considers Czech, Hungarian, and Polish markets while existing papers concentrate mostly on the American market. 4) The paper shows that there are minimal connections between the Czech, Hungarian, and Polish equity markets and crypto assets.

Magdalena Rãdulescu, Kamel Si Mohammed, Abdelmohsen A. Nassani, Nicoleta Dascalu

This study investigates the impact of Bitcoin's energy and water consumption on environmental sustainability, focusing on the load capacity factor (LCF) and the roles of energy transition green technology in major cryptocurrency-producing nations. Utilizing the method of moments quantile regression (MMQR) approach, the findings reveal a negative impact of mining energy consumption on environmental sustainability, particularly in the lower quantiles, with a stronger negative effect in the higher quantiles. Energy transition plays a critical role in moderating this impact, though the shift towards cleaner energy sources has not been sufficient to mitigate the adverse environmental effects. The water footprint has limited influence on LCF across upper and lower quantiles. Moreover, the results do not support the LCF hypothesis. An increase in mining activity leads to a rise in LCF, while this effect turns negative in the 90th quantile. These findings underscore the importance of energy transition in reducing Bitcoin's environmental footprint and emphasize the need for policymakers to swiftly enact regulations and foster innovative technologies to promote environmentally sustainable digital currencies while providing valuable insights into water resource management.

Osman Nuri Şahin, Burak Arslan

Blockchain technology, originating from the Bitcoin system, is a prominent notion in both practical applications and scholarly discourse. Numerous subtopics may be seen, including the definition of blockchain, its historical significance in the evolution of currency, its durability, and its magnitude of influence within the literature. In other words, sufficient study on blockchain exists in the literature. Likewise, several studies exist about auditing, particularly concerning accounting and taxation within the setting of the Turkish economy. An examination of official declarations and legislation in Turkey reveals that the state's view on the bitcoin industry lacks definiteness. The perspectives are transitioning from negative to positive. Nevertheless, contradicting remarks have also been seen. Upon assessing the existing circumstances, the strategic plans of nations with comparable developmental stages and active cryptocurrency markets are identified. The most appropriate stance for Turkey is neither entirely liberal nor entirely restrictive. The market requires active management and oversight. This control includes accounting and taxation. Turkey should transition from a passive observation approach to one that incorporates a definitive hybrid therapy. This hybrid encryption encompasses the fundamental components of the cryptocurrency system and the corresponding regulation of pertinent regulations.

Naveed Khan, OlaOluwa S. Yaya, Xuan Vinh Vo, Hassan Zada

In this paper, we examine the volatility and time-frequency connectedness among the financial stress index (FSI), cryptocurrencies namely, Bitcoin , Ethereum, Tether, BNB, Solana, and commodities namely, Gold, Silver, Copper, Platinum, and Brent Oil, using the quantile vector autoregressive (QVAR) frequency connectedness, wavelet coherence, and hedging effectiveness techniques, for the period spanning from June 2020 to December 2023. Findings indicate that the spillover effect among FSI, cryptocurrencies, and commodities substantially varies across different volatility conditions. Also, some cryptocurrencies are net receivers of shocks during normal market conditions, while other cryptocurrencies are net transmitters during extreme market conditions. We also find that, during the bullish market, some commodities (Platinum and Brent oil) are net receivers, while other commodities are net transmitters under extreme market conditions (lower quantiles). Similarly, findings further show that, under extreme volatility conditions (higher quantiles), cryptocurrencies and commodities are net receivers of shocks, while FSI is a net transmitter during these volatility conditions. Using frequency co-movement analysis, we find strong and weak correlations between these series in the short- and long-run for shorter periods. Furthermore, findings provide important implications for policymakers and portfolio managers to pay attention to long-term dynamics and design appropriate policies that mitigate the spillover effects.

Alshammari Saad, Mbarek Marouene, Fatma Mrad, Badreddine Msolli

No abstract is available for this record.

Shiqun Ma, Chao Feng, Lijin Xiang, Zhichao Yin

No abstract is available for this record.

Carroll Howard Griffin

This paper examines how gold and Bitcoin have changed in terms of value and function in the context of the central banking system in the 21st century. Over the past decades, central banks have held gold as one of their primary reserve assets, given its stability, relative rarity, and traditional status as an inflation hedge and financial crisis buffer. However, with the advent of Bitcoin, central banks now have the opportunity to hold a new asset, one that has been compared to “digital gold”. On one hand, Bitcoin revolutionizes the monetary system because it is decentralized, has built in scarcity, and serves as a store of value. However, on the other hand, Bitcoin has traditionally been highly volatile, suffered from regulatory issues, and possesses a relatively short history; all of which hinder Bitcoin from becoming more accepted among central banks. Factors are discussed that affect central bank reserve management: the enduring role of gold, Bitcoin as an additional reserve, and the growing significance of central bank digital currencies. It is argued that while it remains unclear whether central banks will fully integrate Bitcoin into current reserves, its acceptance thus far may impact the decision of global monetary systems regarding incorporating digital technologies alongside more conventional assets, such as gold.

Qihao Chen, Zhuo Huang

This paper investigates the peg instability of USDT from the tail risk spillover perspective using the CoVaR method. Specifically, we examine whether the conditional quantiles of USDT exhibit significant differences during periods of substantial declines in Bitcoin (BTC) and Ethereum (ETH) prices compared to normal market conditions. Using high-frequency data, we perform a bivariate Realized GARCH estimation of CoVaR and show that incorporating intraday information improves the precision of CoVaR estimation. We first verify that extreme negative returns in BTC and ETH significantly shift the correlation with USDT returns from positive to negative when compared to normal market conditions, indicating that USDT exhibits strong hedging properties and thus is not stable. Using the ΔCoVaR as a measure of the peg instability of USDT, we further detect significant downside to upside risk spillover effects from non-stablecoins (BTC and ETH) to USDT. These empirical findings provide implications for both testing and measuring the peg instability of USDT.

Andrea Civelli, Laura E. Jackson

No abstract is available for this record.

Muhammad Umar

No abstract is available for this record.

Chun-Li Tsai, Mu‐Yen Chen, Tsung-Yi Tsai, Jen-Wei Hu · 5 authors

No abstract is available for this record.

Anoop Kumar, M.L.N. Madhu Mohan, P. S. Niveditha

We examine the roles of Gold and Bitcoin as a hedge, a safe haven, and a diversifier against the coronavirus disease 2019 (COVID-19) pandemic and the Ukraine War. Using a rolling window estimation of the dynamic conditional correlation (DCC)-based regression, we present a novel approach to examine the time-varying safe haven, hedge, and diversifier properties of Gold and Bitcoin for equities portfolios. This article uses daily returns of Gold, Bitcoin, S&P500, CAC 40, and NSE 50 from January 3, 2018, to October 15, 2022. Our results show that Gold is a better safe haven than the two, while Bitcoin exhibits weak properties as safe haven. Bitcoin can, however, be used as a diversifier and hedge. This study offers policy suggestions to investors to diversify their holdings during uncertain times. JEL Codes: G1, G11, G12

Oliver Kirsten, Bernd Süßmuth

Cryptocurrencies do not have proper economic fundamentals. Consequently, economic variables cannot predict crypto prices. According to economic theory, cryptocurrencies are unbacked assets that are inherently unforecastable. However, a growing strand of literature suggests global crypto markets to be informationally inefficient. It implies the possibility of return predictability based on past information. Forecasting the allegedly unforecastable becomes feasible. Keeping it sophisticatedly simple, past infomation can be captured by autoregressive integrated moving average (ARIMA) processes of principal components. However, Principal Component Analysis (PCA) for crypto price series is due to their non-Gaussian property not applicable and requires the assumption of a stochastic trend model. Making use of the Central Limit Theorem, Independent Component Analysis (ICA) overcomes this deficiency. We show that ICA combined with ARIMA modeling more than triples the predictability of global crypto price dynamics. • Crypto markets are found to be inefficient in the sense of majority games. • ICA based ARIMA more than triples predictability of crypto price dynamics. • ICA based ARIMA is most reliable for directional out-of-sample predictions.

Haim Shalit

The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.

Nezir Köse, Yunus Emre Gür, Emre Ünal

ABSTRACT This study examines the connection between Bitcoin and global factors, including the VIX, the oil price, the US dollar index, the gold price, and interest rates estimated using the Federal funds rate and treasury securities rate, for forecasting analysis. Deep learning methodologies, including LSTM, GRU, CNN, and TFT, with machine learning algorithms such as XGBoost, LightGBM, and SVR, were employed to identify the optimal prediction model for the Bitcoin price. The findings indicate that the TFT model is the most successful predictive approach, with the gold price identified as the most relevant component in determining the Bitcoin price. After the gold indicator, the US dollar index was a substantial factor in the explanation of the Bitcoin price. The TFT model also included regulatory decisions and global events. It was estimated that the Bitcoin price was significantly influenced by the COVID‐19 pandemic. After that, global climate events and China mining ban strongly affected the Bitcoin price. These findings indicate that regulatory decisions and global events determine the Bitcoin price in addition to macroeconomic factors. The VAR analysis was employed as a robustness check. The results indicate that gold and oil prices have a strong negative influence on Bitcoin, particularly in the long term. The paper has significant policy implications for investors, portfolio managers, and scholars.

A.A.K.K. Jayawardhana, Sisira Colombage

Cryptocurrency is the most innovative financial and technological breakthrough of this generation. Investment in cryptocurrency grew from USD 11.18 billion in December 2016 to USD 2.147 trillion in April 2024; however, the rationality of investor exuberance is uncertain. This paper explores stakeholders' perceptions of cryptocurrency using a machine-learning approach based on artificial intelligence (AI). In particular, we employ a lexicon-based emotion-detection sentiment analysis to investigate stakeholder perceptions, using 2.3 million open-source data points. We divide the findings into positive, neutral, and negative stakeholder perception pillars based on factors such as trustworthiness in cryptocurrency, motives, cryptocurrency awareness and knowledge, ownership, socioeconomic characteristics of users, and usage. Our analysis reveals that 51 percent of the stakeholders have a positive perception of cryptocurrency, whereas 40 percent have a neutral perception and 9 percent a negative perception. After identifying the perceptions, we investigate the relationship between cryptocurrency prices and stakeholder perceptions using the autoregressive distributed lag (ARDL) framework with time-series data from August 2017 to July 2023. The long- and short-term results confirm that positive and negative perceptions have statistically significant effects on cryptocurrency prices. Individual investors comprise the largest share of those with a positive perception, as 54 percent have a positive view of cryptocurrency. Institutional investors, however, have the largest share of those with a neutral perception because of the lack of a well-established regulatory framework for cryptocurrency. However, 39 percent of institutional investors hold a positive perception is growing, a sign of a growing trend, as they are among the major investor groups with an interest in investing in crypto. Other stakeholders, such as the government, academia, and other miscellaneous groups, have a negative perception. Our results demonstrate that cryptocurrency has affected social change, social inclusion, and sustainability. Moreover, our findings offer social insights about crypto stakeholders’ perceptions about the design of strategies to promote cryptocurrency and the establishment of a sustainable crypto ecosystem. • The study investigates the stakeholders' perception towards cryptocurrency. • AI-based sentiment analysis identifies that 51% of stakeholders have a positive perception towards cryptocurrency. • The Autoregressive Distributed Lag model integrated with the UECM model was used to investigate the cointegration between cryptocurrency and stakeholder perception. • A positive perception of cryptocurrency has a significant positive effect on its price.

Shusheng Ding, Xiangling Wu, Tianxiang Cui, John W. Goodell · 5 authors

Climate change is a highly controversial topic within the socioeconomic context. Climate Policy Uncertainty (CPU) arises from the process of climate policies formulation and implementation. This uncertainty impacts financial market volatilities, including cryptocurrency markets . In this paper, we demonstrate the substantial role of CPU in forecasting volatilities in cryptocurrency markets using Genetic Programming (GP). Our study shows that different cryptocurrency markets respond differently to CPU across time scales. Our paper contributes to the literature by illustrating the impact of CPU on cryptocurrency market volatilities and analyzes it across different time horizons. Second, we build three volatility forecasting models for different cryptocurrency markets by incorporating CPU, which outperform traditional models. Our models can thereby illuminate portfolio construction and hedging strategies, providing valuable insights for investors and policymakers.

Ameni Boumaiza

In the context of escalating climate change and mounting environmental challenges, green finance has emerged as a crucial mechanism for fostering sustainable development. This paper presents an experimental analysis that illustrates how the integration of blockchain technology into financial technology (fintech) strategies can significantly enhance the efficacy of green investments. Our proposed framework facilitates the optimization of these strategies by improving transparency and fund traceability in environmentally focused projects. Through rigorous testing and data-driven insights, we demonstrate the potential of blockchain to streamline financing processes, mitigate risks associated with fraudulent practices, and promote accountability among stakeholders. By establishing a synergistic relationship between fintech and ecological responsibility, this research provides a novel approach that contributes to both academic discourse and practical applications in green finance. The proposed approach showcases experimental originality by integrating blockchain technology with green finance, setting a precedent for future research in this interdisciplinary field. Our findings reveal that blockchain can significantly enhance the efficiency of financing processes, reducing transactional delays and fostering transparency that mitigates risks related to fraud. Moreover, this study highlights the potential of this synergistic model to cultivate a robust framework for accountability among stakeholders, ultimately guiding investment toward environmentally sustainable initiatives and bolstering the integrity of green financial practices.

Yasemin Yurtoğlu

Tarihin başlangıcından itibaren sürekli evrim geçiren para, insanlık tarafından geliştirilen en önemli araçlardan biridir. Para, insanların gelecekteki ve anlık ihtiyaçlarını karşılamak için belirlenen bir değeri temsil eder. Para kavramı, dönemin koşullarına ve imkânlarına göre farklı şekillerde ortaya çıkar. Kripto paraların temelleri 1980'lerde atılmış olup, 2008 yılında Satoshi Nakamoto tarafından Bitcoin'in tanıtılmasıyla hayatımıza girmiştir. Geleneksel paralara alternatif olarak ortaya çıkan kripto paralar, teknolojik bir yenilik olup her geçen gün daha da popüler hale gelmektedir. Bitcoin, merkezi bir otorite tarafından yönetilmeyen ilk kripto paradır ve popülerliği ve başarısı diğer alternatif kripto paraların oluşmasına yol açmıştır. Julong Deng tarafından 1982 yılında geliştirilen “Gri Sistem Teorisi”, belirsiz sistemlerin davranışlarını tahmin etmek için kullanılan bir yöntem olup GM (1,1) modeli en sıklıkla kullanılan gri modeldir. Bu çalışma, Bitcoin'in fiyatlarını GM (1,1) modeli kullanarak tahmin etmeyi amaçlamaktadır. Araştırma sonucunda, modelin gelecek dönem tahminleri için uygun olduğu ve başarılı tahminler yaptığı belirlenmiştir

Zhiyi Yang

This study explores the feasibility of Bitcoin as a legal currency and a store of value in comparison to traditional fiat currencies. Through a comprehensive literature review and discussion, the study examines Bitcoin’s core characteristics such as circulation limitations, scarcity, price stability, intrinsic value, and associated security risks. The analysis highlights key challenges, including Bitcoin’s limited acceptance in global commerce, high volatility, and the potential risks posed by its decentralized nature. While Bitcoin’s scarcity and technological innovation position it as a unique asset, its viability as a mainstream currency remains uncertain due to its lack of regulatory support and price stability. The paper concludes that although Bitcoin holds promise as a digital asset, it faces significant obstacles in replacing fiat currencies as a stable medium of exchange or a reliable store of value. Recommendations are provided for governments and institutions on regulatory approaches and the integration of cryptocurrencies into the existing financial system.