Mahdi Ghaemi Asl, Muhammad Mahdi Rashidi, Seyed Ali Hosseini Ebrahim Abad
Purpose The purpose of this study is to investigate the correlation between the price return of leading cryptocurrencies, including Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, Peercoin and Dash, and stock return of technology companies' indices that mainly operate on the blockchain platform and provide financial services, including alternative finance, democratized banking, future payments and digital communities. Design/methodology/approach This study employs a Bayesian asymmetric dynamic conditional correlation multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (BADCC-MGARCH) model with skewness and heavy tails on daily sample ranging from August 11, 2015, to February 10, 2020, to investigate the dynamic correlation between price return of several cryptocurrencies and stock return of the technology companies' indices that mainly operate on the blockchain platform. Data are collected from multiple sources. For parameter estimation and model comparison, the Markov chain Monte Carlo (MCMC) algorithm is employed. Besides, based on the expected Akaike information criterion (EAIC), Bayesian information criterion (BIC), deviance information criterion (DIC) and weighted Deviance Information Criterion (wDIC), the skewed-multivariate Generalized Error Distribution (mvGED) is selected as an optimal distribution for errors. Finally, some other tests are carried out to check the robustness of the results. Findings The study results indicate that blockchain-based technology companies' indices' return and price return of cryptocurrencies are positively correlated for most of the sampling period. Besides, the return price of newly invented and more advanced cryptocurrencies with unique characteristics, including Monero, Ripple, Dash, Stellar and Peercoin, positively correlates with the return of stock indices of blockchain-based technology companies for more than 93% of sampling days. The results are also robust to various sensitivity analyses. Research limitations/implications The positive correlation between the price return of cryptocurrencies and the return of stock indices of blockchain-based technology companies can be due to the investors' sentiments toward blockchain technology as both cryptocurrencies and these companies are based on blockchain technology. It could also be due to the applicability of cryptocurrencies for these companies, as the price return of more advanced and capable cryptocurrencies with unique features has a positive correlation with the return of stock indices of blockchain-based technology companies for more days compared to the other cryptocurrencies, like Bitcoin, Litecoin and Ethereum, that may be regarded more as speculative assets. Practical implications The study results may show the positive role of cryptocurrencies in improving and developing technology companies that mainly operate on the blockchain platform and provide financial services and vice versa, suggesting that managers and regulators should pay more attention to the usefulness of cryptocurrencies and blockchains. This study also has important risk management and diversification implications for investors and companies investing in cryptocurrencies and these companies' stock. Besides, blockchain-based technology companies can add cryptocurrencies to their portfolio as hedgers or diversifiers based on their strategy. Originality/value This is the first study analyzing the connection between leading cryptocurrencies and technology companies that mainly operate on the blockchain platform and provide financial services by employing the Bayesian ssymmetric DCC-MGARCH model. The results also have important implications for investors, companies, regulators and researchers for future studies.
The development of the green bond market has been magnificent recently, but it is necessary to be accelerated for financial sustainability over the globe. In response to increasing interest in the time-varying nexus between green bonds and other assets, the current study empirically investigates the asymmetric relationship between green bonds and other conventional assets, including Bitcoin price, S&P 500, Clean Energy Index, GSCI Commodity Index, and CBOE volatility using recently proposed and novel methods of quantile on quantile regression and Granger causality in quantiles approaches. Our mainstream results demonstrate that other assets under study strengthen green bonds over sample period studied, and this impact is more pronounced in higher quantiles of respective variables. Moreover, our quantile causality test further confirms these results with robust finding across time scales and quantiles. To enhance clean energy and energy efficiency, policymakers should take into consideration limiting eligibility criteria in policies supporting green bonds or limiting refinancing using green bonds. Stakeholders driving the green bond market should scale up the market to finance the required global investment level.
Adele Parmentola, Antonella Petrillo, Ilaria Tutore, Fabio De Felice
Abstract Blockchain is a disruptive technology that is revolutionizing information technology and represents a change of cultural paradigm for the way in which information is shared. Companies are rushing to understand how they can use blockchain distributed ledger technology to innovate processes, products and transactions. In a globalized world where environmental sustainability is a critical success factor, what is the role of the blockchain? By using a systematic review approach and the Preferred Reporting Items for Systematic Review and Meta‐Analyses (PRISMA) protocol, this study attempts to identify whether and how blockchain technology is considered able to affect environmental sustainability. Findings from 195 studies from 2015 to 2020 were analysed after the search protocol was applied. The results indicate that blockchain technology could contribute to environmentally sustainable development goals (SDGs) from different points of view, such as supporting the realization of a sustainable supply chain, improving energy efficiency and promoting the creation of secure and reliable smart cities. Furthermore, the investigation highlights the sectors where to focus research investments, providing a way to reward sustainable behaviour and increasing environmental sustainability. On the other hand, blockchain has no negligible negative effects on the environment that need to be considered before adoption.
Cryptocurrency literature is increasing rapidly nowadays. Particularly, the role of the cryptocurrency market as a risk management avenue has got the attention of researchers. However, it is an immature asset class and requires gaps in current literature for future research directions. This research provides a systematic review of the vast range empirical literature based on the cryptocurrency market as a risk management avenue against economic policy uncertainty (EPU). The review discovers that cryptocurrencies have mixed connectedness patterns with all national EPU therefore, the risk mitigation ability varies from country to country. The review finds that heterogeneous correlation patterns are due to the dependence of EPU on the policies and decisions usually taken by regulatory authorities of a particular country. Additionally, heterogeneous EPU requires heterogeneous solutions to deal with stock market volatility and economic policy uncertainty in different economies. Likewise, the divergent protocol and administration of currencies in the crypto market consequently vicissitudes the hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund managers, or portfolio managers. Therefore, the authors suggested future research avenues in terms of topics, data frequency, and methodologies.
Compared with the traditional industrial economy, the Chinese digital economy uses brand-new production factors and production organization methods to bring changes to human society and promote the transformation of the economy. This chapter aims to explore the practical problems of adopting blockchain technology in China's digital economy and study how different cities (managed by various local governments) enhance their unique financial technology ecosystem's economic performance and promote RegTech policy in order to improve the digital economy under the central government's institutional setting. This chapter in turn analyzes the recent cases of blockchain in China's financial industry, compares the application and development of the latest financial technology related policies in major cities, and demonstrates how these regulations can promote the development of blockchain technology in the transformation of China's digital economy.
This study uses a novel perspective to examine the causal connectedness between green bonds and other conventional assets, including clean energy, price of CO2 emission allowances, Bitcoin, and the S&P 500 stock market covering from January 2013 to March 2019. We apply the Multilayer Perceptron Neural Network Non-linear Granger causality and Transfer Entropy to detect possible changes in the causal direction between green bonds and other considered variables. We find a bidirectional relationship between green bonds, S&P 500, and Bitcoin markets, while green bonds have a unidirectional connection with the price of CO2 emission allowances.
Francisco Jareño, María de la O González, Raquel López, Ana Rosa Ramos
This study explores potential non-linear and asymmetric interdependencies between oil price shocks and leading cryptocurrency returns. In addition, this research splits changes in crude oil prices into three relevant components: risk, demand, and supply shocks. By applying the NARDL methodology, this paper examines the connection between oil and cryptocurrencies in the period between November 20, 2018 and June 30, 2020, conducting a study of the first wave of the COVID-19 pandemic. Our results confirm that demand shocks show the greatest connection with the returns of the cryptocurrencies analysed. In addition, both short-term and long-term results show a greater interdependence between oil and cryptocurrencies in periods of economic turbulence, such as the SARS-CoV-2 coronavirus crisis.
Toan Luu Duc Huynh, Rizwan Ahmed, Muhammad Ali Nasir, Muhammad Shahbaz · 5 authors
In the context of the debate on cryptocurrencies as the 'digital gold', this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robustness of the results. The stationary bootstrap test for the partial cross-quantilogram indicates which quantile in the left tail has a statistically significant relationship between Bitcoin and US oil returns. The study has crucial implications in terms of portfolio diversification using cryptocurrencies and oil-based hedging instruments.
Muhammad Abubakr Naeem, Saba Qureshi, Mobeen Ur Rehman, Faruk Balli
This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.
Sergio Luis Náñez Alonso, Javier Jorge-Vázquez, Miguel Ángel Echarte Fernández, Ricardo Francisco Reier Forradellas
There are different studies that point out that the price of electricity is a fundamental factor that will influence the mining decision, due to the cost it represents. There is also an ongoing debate about the pollution generated by cryptocurrency mining, and whether or not the use of renewable energies will solve the problem of its sustainability. In our study, starting from the Environmental Performance Index (EPI), we have considered several determinants of cryptocurrency mining: energy price, how that energy is generated, temperature, legal constraints, human capital, and R&D&I. From this, via linear regression, we recalculated this EPI by including the above factors that affect cryptocurrency mining in a sustainable way. The study determines, once the EPI has been readjusted, that the most sustainable countries to perform cryptocurrency mining are Denmark and Germany. In fact, of the top ten countries eight of them are European (Denmark, Germany, Sweden, Switzerland, Finland, Austria, and the United Kingdom); and the remaining two are Asian (South Korea and Japan).
Purpose The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices. Design/methodology/approach This paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study. Findings The findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty. Originality/value This study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.