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2,329 results · page 81 of 98
Elie Bouri, David Roubaud, Syed Jawad Hussain Shahzad
No abstract is available for this record.
Miguel Alves Castro
Cryptocurrencies have become a hot topic in finance: its price swings have gathered attention from investors therefore they have become an appealing asset to hold alongside other financial instruments. Despite this, do cryptocurrencies reflect the same investment behavior as seen in other assets? This paper aims to study irrational behavior with a focus on the disposition effect in stocks and Bitcoin. Is there a disposition effect in cryptocurrencies and, if so, how different are the effects between the two assets? The findings suggest there is disposition effect in Bitcoin, but it is stronger for stocks.
Mazin A. M. Al Janabi, RomĂĄn Ferrer, Syed Jawad Hussain Shahzad
No abstract is available for this record.
Robert Hudson, Andrew Urquhart
Abstract This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading rules from the main five classes of technical trading rules and find significant predictability and profitability for each class of technical trading rule in each cryptocurrency. We find that the breakeven transaction costs are substantially higher than those typically found in cryptocurrency markets. To safeguard against data-snooping, we implement a number of multiple hypothesis procedures which confirms our findings that technical trading rules do offer significant predictive power and profitability to investors. We also show that the technical trading rules offer substantially higher risk-adjusted returns than the simple buy-and-hold strategy, showing protection against lengthy and severe drawdowns associated with cryptocurrency markets. However there is no predictability for Bitcoin in the out-of-sample period, although predictability remains in other cryptocurrency markets.
Gianna FigĂ âTalamanca, Marco Patacca
No abstract is available for this record.
Steven Haryanto, Athor Subroto, Maria Ulpah
No abstract is available for this record.
Calvin W. H. Cheong
Purpose This study aims to examine the properties of four major cryptocurrencies and how they can be used as a simpler alternative mode of hedging foreign exchange (FX) risks as compared to existing mainstream financial risk management techniques. Design/methodology/approach This study uses a combination of visual data representations and the classic Fama and Macbeth (1973) two-pass procedure regressions. Findings The findings show that cryptocurrencies can be a more effective hedge against FX risks as compared to other common hedging instruments and/or techniques such as gold or a diversified currency portfolio. Research limitations/implications The conclusions were arrived at based only on a small group of cryptocurrency, i.e. Bitcoin, Ethereum, Litecoin and Ripple. Other cryptocurrencies such as Dogecoin or ZCash might exhibit different properties. Practical implications Cryptocurrencies can be cost-effective and cost-efficient instruments that provide a solid hedge for investors and/or firms that are exposed to global FX volatility. Its ease of trade and virtually zero barriers to entry makes it an easily accessible alternative hedge instrument as compared to more complex items such as derivatives. Originality/value If cryptocurrencies are to be accepted into mainstream usage, a detailed examination of its various uses is necessary. In particular, as they are often touted to be the future of currency, its properties and price behavior relative to other mainstream financial instruments need to be well-understood, not only by finance professionals but also by laypersons.
Prateek Bedi, Tripti Nashier
No abstract is available for this record.
Ruozhou Liu, Shanfeng Wan, Zili Zhang, Xuejun Zhao
No abstract is available for this record.
Dirk Gerritsen, Elie Bouri, Ehsan Ramezanifar, David Roubaud
No abstract is available for this record.
VĂtor Nuno da Costa Azevedo Fonseca, LuĂs Pacheco, JĂșlio LobïżœĂŁo
Purpose The purpose of this paper is to study the existence of psychological barriers in cryptocurrencies. Design/methodology/approach To detect psychological barriers, the authors perform a uniformity test, a barrier hump test, a barrier proximity test and conditional effects test to a sample comprised by the daily closing quotes of six of the most liquid cryptocurrencies. Findings The results evidence the existence of psychological barriers in four of the cryptocurrencies under scrutiny, namely, Bitcoin, Dash, NEM and Ripple. Practical implications The fact that the cryptocurrency market has a high share of unexperienced investors and presents several cases of psychological barriers is consistent with the hypothesis that that class of investors is particularly prone to the behavioral biases which cause psychological barriers. Originality/value This paper studies, for the first time, the existence of psychological barriers in the market of cryptocurrencies.
Stefan Cosmin DANILA, Ioan-Bogdan Robu
Within the decision-making process, investors are interested in finding the most effective solutions that will allow them to obtain short-term benefits. Current economic environment is characterized by the emergence of new financial instruments that can assist investors to diversify their investment portfolio. Crypto-currencies represents a category of financial assets that can be used by investors to reduce risk and achieve significant returns. Therefore, the study intends to analyze the financial behavior of investors in the moment of publishing the financial statements. Financial statements could have a positive or negative influence on the investment portfolio and structure. The issue analyzed by this study is represented by the ability of the cryptocurrency Bitcoin to be considered as an alternative investment asset. The study is divided into two parts. In the first part, the study presents the review of literature about value-relevance, cryptocurrency term and speculative bubble. The second part presents the research methodology and results. The results of the study validate the hypothesis of this study, cryptocurrency Bitcoin being a financial asset that can be used as an alternative investment asset for diversification of investment portfolio.
Sheets Ben, Wang Xiaoqiong
Abstract This paper provides a comprehensive overview of cryptocurrencies, including the origin of cryptocurrencies, how cryptocurrencies operate, and the current situation of cryptocurrencies. In addition, we also provide the performance comparison of major cryptocurrencies with the performance of the stock market indexes. All the cryptocurrencies exhibit higher average returns and volatility than the stock market indexes, which appeals to risk-taking investors. We then perform additional analysis on the determinants of cryptocurrencies returns. We show that major fundamental variables are less likely to affect the returns of cryptocurrencies except for the S&P 500 index returns and the exchange rates between U.S. dollars and Euros.
Tobias Glas
<h3>Practical Applications Summary</h3> In <b>Investments in Cryptocurrencies: <i>Handle with Care!</i></b> from the Summer 2019 issue of <b><i>The Journal of Alternative Investments</i></b>, author <b>Tobias N. Glas</b> (of the Department of Finance at the <b>University of Bremen, Germany</b>) uses an extensive data set to analyze the new asset class of cryptocurrencies, such as Bitcoin. He demonstrates that the investment performance of cryptocurrencies has little or no correlation with the performance of traditional markets and investments, or the macroeconomic environment in general. The mean monthly investment returns of cryptocurrencies are basically random, and only a few of the traditional investment styles produce positive results when applied to cryptocurrencies. Therefore, traditional market mechanics cannot yet be applied to cryptocurrency marketsâso the author advises investors to handle cryptocurrencies with care. On the other hand, a few individual digital coins dominate the cryptocurrency market, and they have posted high average returns for investors who bought and held them. Also, the investment performance of cryptocurrencies is not influenced by that of stocks or other investmentsâand so cryptocurrencies will not necessarily go down if the stock market goes down. So adding cryptocurrencies to a portfolio can make it more diversified. <b>TOPICS:</b>Currency, portfolio construction, risk management, performance measurement
Stefan Ehlers, Kolja Gauer
<h3>Practical Applications Summary</h3> In <b>Beyond Bitcoin: <i>A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification</i></b> from the Summer 2019 issue of <b><i>The Journal of Alternative Investments</i></b>, authors <b>Stefan Ehlers</b> and <b>Kolja Gauer</b> (both at <b>Volkswagen AG</b>) provide a first-of-its-kind analysis of whether traditional currencies (also known as fiat currencies) and cryptocurrencies act similarly or differently with respect to their fluctuations in value and total return. The authors also explore whether mixing cryptocurrencies and fiat currencies in an investment portfolio can help diversify it and reduce the portfolioâs variance. The authors find no correlation between the fluctuations in value and total return of cryptocurrencies and fiat currencies, so combining them in a mixed portfolio improves diversification. Also, only Bitcoin and XRP play an important role in reducing the variance of a pure cryptocurrency portfolio, while just a few cryptocurrencies and fiat currencies significantly reduce the variance of mixed portfolios. So, those who want to invest in cryptocurrencies and avoid major swings in value and returns should consider including a few specific currencies in their portfolio and should combine cryptocurrencies with fiat currencies in a mixed portfolio. <b>TOPICS:</b>Currency, statistical methods, portfolio construction
Stephanie F. Cheng, Gus De Franco, Haibo Jiang, Pengkai Lin
This paper provides evidence on public firmsâ initial 8-K disclosures that mention Blockchain and investorsâ response to these disclosures. We categorize the description of Blockchain activities in firmsâ 8-Ks as Speculative (e.g., a vague future plan that involves Blockchain) or Existing (e.g., a description of Blockchain product). We document a sharp increase in the number of initial 8-K disclosures of Blockchain, particularly by Speculative firms, coinciding with the rise of Bitcoin prices and excitement in Blockchain technology in the last quarter of 2017. Investors react positively to the Blockchain 8-Ks issued by Speculative firms in the initial seven-day event window although the reaction is mostly reversed over the 30 days following the disclosure. The reaction is stronger when Bitcoin returns are more positive. Overall, our results are consistent with a situation that troubles the SEC and the financial press: investors overreact to a firmâs first 8-K disclosure of a potential foray into Blockchain technology and that overreaction is a function of the Bitcoin price bubble. This paper was accepted by Brian Bushee, accounting.
Robiyanto Robiyanto, Yosua Arif Susanto, Rihfenti Ernayani
Cryptocurrency market is an attractive field for researchers in finance nowadays. One topic that can be studied is related to the existence of anomalies in the cryptocurrency market. This research was conducted to examine whether the cryptocurrency market, especially on Bitcoin and Litecoin, has day-of-the-week and month-of-the-year effects. The Bitcoin and Litecoin were used as objects because they were a cryptocurrency with a large market capitalization. The data used were monthly cryptocurrency returns for examining the month-of-the-year-effect and daily returns for examining the day-of-the-week-effect from 2014-2018. GARCH (1,1) analysis was done to see these effects on the cryptocurrency market. The results indicate that the phenomena of day-of-the-week and month-of-the-year effect existed in the cryptocurrency market. Therefore, the cryptocurrency market was not an efficient market. The pattern in the Bitcoin and Litecoin could later be utilized by investors. The investors should buy Bitcoin at the end of January and they should sell them at the end of February. While, for the investors who traded daily, can trade Bitcoin in Monday, Wednesday and Thursday because in these days, the Bitcoin have the potential to generate daily profits. JEL Classification: G14, G19 DOI: https://doi.org/10.26905/jkdp.v23i3.3005
Dehua Shen, Andrew Urquhart, Pengfei Wang
No abstract is available for this record.
Paul P. Momtaz
This paper examines the performance of cryptocurrencies issued in initial coin offerings (ICOs) over a three-year period after the initial exchange listing. Average (median) ICO underpricing amounts to 15% (3%), even though 4 out of 10 ICOs destroy value on the first trading day. Liquidity, market capitalization, and high-low price ratios predict returns. Long-run buy-and-hold returns are positive for the mean and negative for the median. For holding periods between one and twenty-four months, the median ICO depreciates by 30%. Evidently, there is substantial positive skewness in the cryptocurrency market. Further, a size effect emerges from the data as an empirical regularity: Large ICOs are more often overpriced and underperform in the long run.
Taoufik Bouraoui
No abstract is available for this record.
Alessandra Cretarola, Gianna FigĂ âTalamanca
No abstract is available for this record.
Donglian Ma, Hisashi Tanizaki
Purpose The purpose of this paper is to examine the day-of-the-week effects of Bitcoin (BTC) markets on the exchange level from January 2014 to September 2018. Design/methodology/approach The in-depth study on the day-of-the-week effects is conducted by using data consisting of Bitcoin prices denominated in 20 fiat currencies from 23 Bitcoin trading exchanges through the method of rolling sample for calendar effect proposed by Zhang et al. (2017). Findings It is shown by the empirical results that different patterns of the day-of-the-week effects are observed on Bitcoin denominated in various fiat currencies by referring to the price data collected from exchanges. Furthermore, the patterns of the day-of-the-week effects are also available after adjusting Bitcoin prices denominated in domestic currencies into USD. Research limitations/implications Because of the discontinuity of data for some daily return series, estimation with dynamic variance is not applicable. It is assumed that the error item follows normal distribution with constant variance. Originality/value The day-of-the-week effects are wide-spread in Bitcoin markets, and they are not mainly caused by movements of foreign exchange rates. Actually, empirical findings in this study provide evidence for inefficiency of Bitcoin markets.
Li Liu
No abstract is available for this record.
Erdinç Akyıldırım, Shaen Corbet, Paraskevi Katsiampa, Neil Kellard · 5 authors
No abstract is available for this record.