Blockchain Papers

Jan Spörer

No abstract is available for this record.

Kuang‐Chieh Yen, Hui-Pei Cheng

No abstract is available for this record.

Mina Sami, Wael Abdallah

No abstract is available for this record.

Alexander Chang, William Herrmann, Wlliam Cai

No abstract is available for this record.

Rostislav Haliplii, Dominique Guégan, Marius Frunza

No abstract is available for this record.

Sasmita Claudia Pontoh, Eko Rizkianto

No abstract is available for this record.

Vincent K. Assamoi, Adelphe Ekponon, Zihan Guo

We use portfolio sorting to examine cryptocurrency returns in connection to other asset classes. Using the 110 cryptocurrencies with the highest market capitalization from September 2014 to June 2021, we consider 23 financial and uncertainty factors. We find that cryptocurrencies have a strong relationship with measures of uncertainty, equity markets, foreign exchange, and precious metals. Our results provide evidence that cryptocurrencies are related to other assets through portfolio sorting, complementing studies that have found that factors related to the cryptocurrency market itself can explain their prices.

Dirk G. Baur, Thomas Dimpfl

No abstract is available for this record.

Guglielmo Maria Caporale, Woo-Young Kang

This paper analyses co-movement between Bitcoin exchanges in 34 major countries around the world and the US (the global benchmark) over the period January 24, 2011 - January 7, 2019. More specifically, we run IV regressions to investigate the importance of cultural factors (such as tightness, individualism, trust and risk-taking) following an earlier study by Eun et al. (2015) which had shed light on their importance to explain stock co-movement within individual countries. The results suggest that markets in tighter, more individualistic, trustful and risk-taking societies are more tightly linked to the US one. Further, it appears that culturally looser, collectivistic, trustful and risk-taking countries are more likely to shut down their Bitcoin exchanges compared to other countries. These findings confirm our priors.

Xiaowei Ding, Hongyao Zhu

No abstract is available for this record.

Jürgen E. Schatzmann, Bernhard Haslhofer

Investors tend to sell their winning investments and hold onto their losers. This phenomenon, known as the \\emph{disposition effect} in the field of behavioural finance, is well-known and its prevalence has been shown in a number of existing markets. But what about new atypical markets like cryptocurrencies? Do investors act as irrationally as in traditional markets? One might suspect this and hypothesise that cryptocurrency sells occur more frequently in positive market conditions and less frequently in negative market conditions. However, there is still no empirical evidence to support this. In this paper, we expand on existing research and empirically investigate the prevalence of the disposition effect in Bitcoin by testing this hypothesis. Our results show that investors are indeed subject to the disposition effect, tending to sell their winning positions too soon and holding on to their losing position for too long. This effect is very prominently evident from the boom and bust year 2017 onwards, confirmed via most of the applied technical indicators. In this study, we show that Bitcoin traders act just as irrationally as traders in other, more established markets.

Evan Tummon, Muhammad Adil Raja, Conor Ryan

No abstract is available for this record.

Lennart Ante, André Meyer

Abstract Initial coin offerings (ICOs) represent a novel funding mechanism where digital tokens are issued on the blockchain and sold to investors. One major reason for the success of this financing model is the fact that the issued tokens can immediately be traded on secondary markets. This event study analyzes 250 exchange cross-listings of 135 different tokens issued through ICOs on 22 cryptocurrency exchanges. We find significant abnormal returns of 6.51% on the listing day and 9.97% over a seven-day window around the event. Further analysis shows that the results clearly differ for individual cryptocurrency exchanges, as listings on individual exchanges yield returns of up to 34% on the event day, while others are negligible. An investigation of liquidity-related metrics shows that lower prior trading volume and asset market capitalization have positive effect on listing returns. Investors use phases of high market liquidity to sell off positions around the period of cross-listing events. The results on the cross-listing effects of ICOs may be of relevance to investors/traders, ICO projects, cryptocurrency exchanges and regulators.

Rui Ren, Michael Althof, Wolfgang Karl Härdle

No abstract is available for this record.

Thomas Dimpfl, Franziska J. Peter

We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared to the New York Stock Exchange or NASDAQ. Therefore, traditional measures of price discovery are potentially biased. To overcome this concern, we draw on the information leadership share (ILS) proposed by Putninš [2013, J.Emp.Fin]. Based on the ILS, we find that Bitfinex is the leader in the price discovery process. Our results highlight the importance of accounting for different levels of noise when evaluating price discovery contributions

Tim Schmitz, Ingo Hoffmann

In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting of (i) the comparison of descriptive statistics, (ii) graphical methods and (iii) econometric spanning tests. In contrast to most of the former studies we use a (broad) customized, Equally-Weighted Cryptocurrency Index (EWCI) to capture the average development of a whole ex ante defined cryptocurrency universe and to mitigate possible survivorship biases in the data. According to Glas/Poddig (2018), this bias could have led to misleading results in some already existing studies. We find that cryptocurrencies can improve portfolio diversification in a few of the analyzed windows from our dataset (consisting of weekly observations from 2014-01-01 to 2019-05-31). However, we cannot confirm this pattern as the normal case. By including cryptocurrencies in their portfolios, investors predominantly cannot reach a significantly higher efficient frontier. These results also hold, if the non-normality of cryptocurrency returns is considered. Moreover, we control for changes of the results, if transaction costs/illiquidities on the cryptocurrency market are additionally considered.

Ye Li, Simon Mayer

No abstract is available for this record.

Soumyajit Pathak, Alpana Kakkar

No abstract is available for this record.

Hamed Al-Shaibani, Noureddine Lasla, Mohamed Abdallah

The global implementation architecture of the traditional stock market distributes responsibilities and data across different intermediaries, including financial and governmental organizations. Each organization manages its system and collaborates with the others to facilitate trading on the stock exchange platform, and typically buy-sell orders go through different parties before settlement. This design architecture that involves a complex chain of intermediaries has several limitations and shortcomings, such as a single point of failure, a longer time for financial settlements, and weak transparency. Blockchain technology consists of a network of computer nodes that securely share a common ledger without the need of having any kind of intermediaries. In this paper, we present a novel blockchain-based architecture for a fully decentralized stock market. Our architecture is based on a private Ethereum blockchain to create a consortium network leveraging organizations that are already involved in the traditional stock exchange to act as validating nodes. In our architecture, the stock exchange trading logic is completely implemented on a smart contract, while considering the existing governmental market regulations. Since the new platform does not introduce significant changes to the stock exchange trading logic and does not eliminate any of the traditional parties from the system, our proposal promotes efficient adoption and deployment of decentralized stock exchange platforms. In addition, we present a proof of concept implementation of the new architecture, including the smart contract for trade exchange, as well as a virtualization-based test network to assess the platform performance. The test network consists of virtual nodes that run the developed stock exchange smart contract where we measure the buy-sell orders throughput and latency under different network sizes and trading workload scenarios. The obtained results have shown that the proposed trading platform can reach a throughput of 311.8 tx/sec, which is equivalent to 89% of the optimal throughput when the sending rate is 350 tx/sec. This throughput is largely sufficient to meet the requirement of major stock exchanges, such as Singapore stock market.

Patrick Jaquart, David Dann, Christof Weinhardt

No abstract is available for this record.

María de la O González, Francisco Jareño, Frank S. Skinner

We investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the Covid-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks and bonds. Cryptocurrencies have the potential to control risk as most portfolios that include cryptocurrencies consistently experienced risk no greater than 50 basis points above the risk experienced by cash portfolios. However, there is no free lunch. While three asset portfolios can control risk, they also have a lower return per unit of risk.

Q. K. N. Chan, Wenzhi Ding, Chen Lin, Alberto G. Rossi

No abstract is available for this record.

Barbara Będowska-Sójka, Tomasz Hinc, Agata Kliber

No abstract is available for this record.

Lennart Ante, Ingo Fiedler, Marc von Meduna, Fred Steinmetz

No abstract is available for this record.