Blockchain Papers

Shaen Corbet, Brian M. Lucey, Larisa Yarovaya

No abstract is available for this record.

Yusuf ÇOLAK, Ali Rıza SANDALCILAR

Çalışmada Türkiye’deki seçili bir takım finansal değişkenlerle (USD, EURO, POUND, SDR, BİST 100, Cumhuriyet Altını, M1 ve M2 para arzları) sanal para birimi Bitcoin (BTC) arasındaki ilişki incelenmiştir. Bu kapsamda 2013-2019 dönemine ait aylık veriler kullanılmıştır. Analizler sonucunda değişkenlerin birinci farklarının durağan olduğu tespit edilmiş, diğer taraftan Bitcoin ile diğer finansal değişkenler arasında uzun dönemli bir eşbütünleşmenin varlığı belirlenmiştir. Değişkenler arasında nedenselliğin araştırıldığı Granger Nedensellik testi ile de Bitcoin’in bağımlı değişken olduğu denklemde SDR ve USD ‘den BTC’ye doğru %5 anlamlılık düzeyinde; Euro ve BIST 100 değişkeninden BTC’ye doğru ise %10 anlamlılık seviyesinde bir nedenselliğin varlığı tespit edilmiştir.

Chunguang Bai, James J. Cordeiro, Joseph Sarkis

No abstract is available for this record.

Ahmed Mohamed Dahir, Fauziah Mahat, Bany‐Ariffin Amin Noordin, Nazrul Hisyam Ab Razak

Purpose Recent trends and developments in Bitcoin have led to a proliferation of studies that analyzed the Bitcoin returns and volatility; however, the volatility connectedness between Bitcoin and equity market information in emerging countries quietly remains scarce. Regarding this deficiency, the purpose of this paper is to examine the dynamic connectedness between Bitcoin and equity market information. Design/methodology/approach Daily data from January 1, 2012 to May 31, 2018 are used. The paper applies a novel time-varying parameter vector autoregression (TVP-VAR) model extended by Antonakakis and Gabauer (2017). This model addresses the biases in coefficient estimates, considering innovations from sources of time variation. Findings The findings reveal that the volatility transmission of Bitcoin return is not an important source of shocks of market returns in Brazil, Russia, India, China and South Africa (BRICS), suggesting that Bitcoin return contributes less volatility to equity market information. The results further show that Bitcoin is the main receiver of volatility while market price risk is the dominant transmission catalysts for innovations in the rest of the stock market returns. Practical implications Important implications can be derived from these findings, signaling of the demand to develop and implement volatility connectedness policy measures in order to guarantee the stability of financial assets. However, the most significant limitation lies in the fact that the analysis of this paper is restricted to the volatility connectedness between Bitcoin and equity market information in BRICS countries. Originality/value By acknowledging the wide range of econometric models, the paper uses TVP-VAR model because this methodology is a useful and relevant tool in modeling the volatility connectedness of financial variables, thus providing meaningful information to policy makers and international investors.

Jungmu Kim, Nae Young Kang, Yuen Jung Park

[연구목적] 최근 비트코인 등 가상화폐에 대거 쏠리는 시중 자금이 금, 주식 같은 전통적 자산 가격에 미치는 영향이 점차 커지고 있는 추세이다. 이에 본 연구는 비트코인 가격에 대한 영향력이 클 것으로 예상되는 실물 자산(금, 국제유가), 투기 자산(주가지수, 주식 변동성), 전통적인 화폐(미 달러)를 대상으로 상호영향 관계를 분석하고자 한다.<BR>[연구방법] 벡터 오차수정(Vector Error Correction) 모형에 근거하여 그랜저 인과관계 분석, 충격반응 분석, 분산분해 분석을 수행하였다.<BR>[연구결과] 전체 표본 기간 동안 비트코인은 실물 자산, 투기 자산 및 화폐 가치의 움직임에 후행했지만, 2014년 이후 부표본 기간에는 선행성이 강해졌다. 주목할 만 한 점은 변동성 지수와는 표본 기간에 상관없이 양방향 그랜져 인과관계를 유지한다는 점이다. 종합적으로 검토하였을 때, 비트코인은 투기 자산과 더욱 밀접한 관계를 가지고 있음을 알 수 있다. 이는 충격반응 분석 및 분산분해 분석으로도 지지되었다.<BR>[연구의 시사점] 본 연구결과는 시장이 비트코인을 실물 자산이나 화폐 자산 보다는 투기 자산으로써 더욱 강하게 인식하고 있음을 시사한다. 이러한 점은 비트코인을 기초 자산으로 하는 상장지수펀드(ETF)의 도입을 지지하는 근거가 될 수 있다.

Andrew L. Goodkind, Benjamin A. Jones, Robert P. Berrens

No abstract is available for this record.

Peter Howson

No abstract is available for this record.

Κωνσταντίνος Γκίλλας, Elie Bouri, Rangan Gupta, David Roubaud

In this paper, we extend existing studies by considering the relationships across crude oil, gold, and Bitcoin markets. Using high-frequency data from December 2, 2014 to June 10, 2018, we analyze spillovers in volatility jumps and realized second, third, and fourth moments across crude oil, gold, and Bitcoin markets via Granger causality and generalized impulse response analyses in daily frequency. Results suggest evidence of predictability and emphasize, among others, the need of jointly modeling linkages across those three markets with higher-order moments; otherwise, inaccurate risk assessment and investment inferences may arise. The responses of realized volatility shocks and volatility jump are generally positive. Furthermore, results indicate evidence of a weaker relationship between gold – crude oil, and Bitcoin – crude oil compared to the case of Bitcoin - gold. Practical implications are discussed.

Ikhlaas Gurrib

Purpose The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets.

Yang Hu, Les Oxley, Chunlin Lang

We examine the predictive power of economic policy uncertainty, volume, transaction activity, and Twitter on Bitcoin between 27 December 2013 and 11 February 2019 using the recently proposed time-varying Granger causality tests of Shi et al. (2018). First, of particular interest, we show that volume can only predict Bitcoin returns during two episodes (August 2016-January 2017 and May 2017-June 2017) based on a Wald test with a recursive evolving procedure under a homoskedasticity error assumption. However, volume cannot predict volatility under any specifications. Secondly, both US economic policy uncertainty and equity market uncertainty indices, which are used as proxies for policy uncertainty, have no effect on predicting Bitcoin returns. Thirdly, transaction activity also cannot predict Bitcoin returns. Lastly, the number of tweets about Bitcoin can Granger cause the volume of Bitcoin (for example, March 2015-August 2015 and January 2016-February 2019) but not returns or volatility.

Farhad Taghizadeh–Hesary, Naoyuki Yoshino

No abstract is available for this record.

Xu Wei, Juan Zhu, Lei Liu

Under the current fiscal decentralization system in China, local governments undertake the task of developing local economy, so they have the motivation to strive for various factors to promote regional economic development. A tightly regulated listing qualification could also be a resource to boost regional economies. This is also the implicit premise in the existing studies that local governments help enterprises in their jurisdictions to pursue listing qualification. However, there is no clear answer as to whether obtaining listing qualification can promote regional economic development.　　Theoretically, obtaining listing qualification may bring a spillover effect to regional industries. First of all, to go public can bring a demonstration effect, prompting local enterprises in the same industry to seek listing qualification in order to cope with competition. In the context of regulation, seeking listing qualification also means improving their business performance to pass regulatory selection. Second, after the access to the capital market, enterprises can obtain equity financing to promote their possible industrial investment and technological upgrading. This may horizontally lead to the proliferation of technology and personnel, so that local industry enterprises benefit directly. Third, the investment and technology upgrading after listing will vertically lead to the technical progress of the industrial chain, thus making local enterprises in the same industry benefit from it. This means that obtaining listing qualification may bring a positive spillover effect to the local industry. Using the provincial industrial development data from 2005 to 2015, we empirically test the above theoretical prediction. We find that the acquisition of listing qualification has a spillover effect, and the newly listed companies in a local industry can significantly increase the economic output efficiency of other companies in the same industry. The demonstration effect, horizontal connection and vertical connection may be the main mechanism of the spillover effect.　　Considering the regulatory background of listing qualification acquisition, we further investigate the influence of specific regulatory tendencies on the above spillover effect. The results show that the spillover effect is facilitated by preferential selection and poverty alleviation. However, the difference of enterprise ownership in regulation has no significant influence on the spillover effect. This result shows that the specific tendency of listing qualification control may have both rationality and inefficiency.　　The findings of this paper help to explain local governments’ concerns about listing qualification and deepen the understanding of the important role of endogenous capital factors. And the findings about control tendency may provide a specific perspective for the further reform of the listing system. Due to the limited availability of data, the evidence provided by the mechanism test part of this paper is indirect, which is also the possible direction of further research in the future.

Khamis Hamed Al‐Yahyaee, Mobeen Ur Rehman, Walid Mensi, Idries Mohammad Wanas Al-Jarrah

No abstract is available for this record.

Alex de Vries

No abstract is available for this record.

Giray Gözgör, Aviral Kumar Tiwari, Ender Demir, Sagi Akron

No abstract is available for this record.

Bikram Chaudhuri

This paper is one of four in a series that reviews the potential application of blockchain technology in market-based instruments to improve transparency and, consequently, sustainability in the energy value chain in several jurisdictions. The research in these four papers underpins “Blockchain for Governance of Sustainability Transparency in the Global Energy Value Chain” which can be found at: https://ssrn.com/abstract=3236753. In this paper, the author considers the legal and regulatory frameworks for India. From a regulation and policy perspective, the author explores challenges and possibilities for the use of blockchain technology for market based instruments for sustainability, specifically, green certificates and white certificates. The paper also considers the application of blockchain to improve transparency at various stages of the energy value chain.

Syed Jawad Hussain Shahzad, Elie Bouri, David Roubaud, Ladislav Krištoufek · 5 authors

No abstract is available for this record.

Feriel Gharbi

The aim of this paper is to examine the volatility spillover between bitcoin, gold and crude oil returns. (VAR) Model and three Multivariate GARCH Models (CCC-GARCH, BEKK-GARCH and DCC-GARCH) estimation techniques are applied using daily data from 1st January 2011 to August 31th, 2018. Further, these estimation results are used to analyze the relationship and the volatility spillovers among bitcoin and these commodity currencies. The findings reveal that the bidirectional spillover is confirmed between gold return and crude oil return. Low unidirectional spillover; from bitcoin return to gold return and from bitcoin to crude oil. We also notice that the DCC-GARCH model provides a better fit than the CCC-GARCH model and the BEKK-GARCH model. These findings have significant implications for both cryptocurrency these commodity currencies allocations and portfolio management.  JEL Classification Numbers: G10; G11; G58       Â

Chunlin Lang, Yang Hu, Les Oxley, Yang Hou

No abstract is available for this record.

Cansu Şarkaya İçellioğlu, Selma Öner

Cryptocurrencies have emerged about ten years ago as a new form of currency and have attracted much attention since they depend on a fully decentralized system, and so their transactions are very fast and have zero transaction cost. Therefore, character of cryptocurrencies and their volatility have been discussed widely by investors, policymakers and economists in recent years. From this point of view, this study aims to explain the price volatility of cryptocurrencies with macro-financial indicators, and thereby, the effects of S&P 500 stock market index, gold price, oil price, 2-year benchmark US Bond interest rate and US Dollar index on the prices of four major cryptocurrencies, Bitcoin, Litecoin, Ethereum, and Ripple, are investigated. The study comprises a panel data analysis applied to daily data over the period of August 2016 – April 2019, and analysis results show that increases in gold price, oil price and S&P 500 index raise the prices of cryptocurrencies, while increases in 2-year benchmark US Bond interest rate and US Dollar index cause to a fall. This adverse effects of the US Dollar index and US Bond interest rate on the prices of cryptocurrencies indicates that when the value of US Dollar and US Bond yield decrease investors prefer to invest in cryptocurrencies as alternative investment instruments. On the other hand, cryptocurrencies move with a similar trend of stock market index, gold price and oil price which are overall market indicators. Thereby, findings of this study show that cryptocurrencies behave more like an investment instrument than a currency, and prices of these financial assets interact with significant macro-financial indicators.

Darius Nassiry

No abstract is available for this record.

Özge Korkmaz

Abstract. This study focuses on the dollar, euro, gold, bitcoin and the impact of bubbles in financial investment instruments on bitcoin returns in the context of Turkey. The causal relationships (using the Toda-Yamamato causality test) between the returns of these financial instruments were also determined. In performing this assessment, the sup augmented Dickey-Fuller (SADF) and generalised SADF (GSADF) tests were employed to determine the existence of bubbles based on the period from 1 August 2018 to 23 March 2018. The volatility of bitcoin was tested by autoregressive conditional variant models. As aresult, it was shown that the observed bubbles in gold’s, the euro’s and the dollar’s returns reduced the volatility of bitcoin’s returns. Then, it was shown that the dollar’s, the euro’s and gold’s returns affected bitcoin’s returns. Keywords. Speculative bubbles, Bitcoin, Investment instruments, Autoregressive conditional heteroskedasticity models, Toda-Yamamato causality. JEL. G10, C58, E44.

Qiang Ji, Elie Bouri, Chi Keung Marco Lau, David Roubaud

No abstract is available for this record.

Mehmet Levent Erdaş, Abdullah Emre Çağlar

This study investigates the asymmetric causal relations between Bitcoin and gold, Brent oil, US dollar, S&P 500 and BIST 100 Indexes for the weekly data of the period between November 2013 and July 2018 via by Hatemi-J (2012) test. The results indicate only a causal link going from the Bitcoin price to S&P 500 Index. Consequently, a change in Bitcoin prices appears to influence the investors’ decisions on the S&P 500 Index. Therefore, it can be said that the investors in S&P 500 Index have closely followed the new macro-financial developments in the market and have been active on the S&P 500 market. However, the presence of a causality relation between Bitcoin price and other variables cannot be determined. Thus, it is supposed that Bitcoin may exist in association with the commodity market and other global indicators in the future, along with the recognition of the Bitcoin currency by countries, its being accepted as a means of exchange and its increased reliability.