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ScienceDirect: |
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- [Cryptocurrency value formation: An empirical study leading to a cost of production model for valuing bitcoin](https://www.sciencedirect.com/science/article/abs/pii/S0736585315301118) |
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- [Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin] |
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- [An alternative model of Metcalfe’s Law for valuing Bitcoin](https://www.sciencedirect.com/science/article/pii/S0165176518300557#!) |
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- [The impact of Tether grants on Bitcoin](https://www.sciencedirect.com/science/article/pii/S0165176518302556) |
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The economics of Bitcoin and similar private digital currencies |
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The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin |
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Bitcoin, gold and the dollar – A GARCH volatility analysis |
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http://thecrix.de/#services |
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Price manipulation in the Bitcoin ecosystem https://www.sciencedirect.com/science/article/pii/S0304393217301666 |
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Shaen Corbet, Andrew Meegan, Charles Larkin, Brian Lucey, Larisa Yarovaya, |
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Exploring the dynamic relationships between cryptocurrencies and other financial assets, |
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Economics Letters, |
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Volume 165, |
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2018, |
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Pages 28-34, |
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ISSN 0165-1765, |
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https://doi.org/10.1016/j.econlet.2018.01.004. |
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(http://www.sciencedirect.com/science/article/pii/S0165176518300041) |
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Abstract: We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative isolation of these assets from the financial and economic assets. Our results show that cryptocurrencies may offer diversification benefits for investors with short investment horizons. Time variation in the linkages reflects external economic and financial shocks. |
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Keywords: Cryptocurrencies; Bitcoin; Litecoin; Time varying; Spillovers |
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Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun, |
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Persistence in the cryptocurrency market, |
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Research in International Business and Finance, |
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2018, |
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, |
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ISSN 0275-5319, |
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https://doi.org/10.1016/j.ribaf.2018.01.002. |
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(http://www.sciencedirect.com/science/article/pii/S0275531917309200) |
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Abstract: This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market. |
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Keywords: Crypto currency; BitCoin; Persistence; Long memory; R/S analysis; Fractional integration; C22; G12 |
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Wang Chun Wei, |
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Liquidity and market efficiency in cryptocurrencies, |
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Economics Letters, |
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Volume 168, |
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2018, |
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Pages 21-24, |
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ISSN 0165-1765, |
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https://doi.org/10.1016/j.econlet.2018.04.003. |
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(http://www.sciencedirect.com/science/article/pii/S0165176518301320) |
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Abstract: We examine the liquidity of 456 different cryptocurrencies, and show that return predictability diminishes in cryptocurrencies with high market liquidity. We show that whilst Bitcoin returns are showing signs of efficiency, numerous cryptocurrencies still exhibit signs of autocorrelation and non-independence. Our findings also show a strong relationship between the Hurst exponent and liquidity on a cross-sectional basis. Therefore, we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies. |
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Keywords: Bitcoin; Cryptocurrency; Market efficiency; Market liquidity |
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Ben Van Vliet, |
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An alternative model of Metcalfe’s Law for valuing Bitcoin, |
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Economics Letters, |
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Volume 165, |
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2018, |
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Pages 70-72, |
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ISSN 0165-1765, |
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https://doi.org/10.1016/j.econlet.2018.02.007. |
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(http://www.sciencedirect.com/science/article/pii/S0165176518300557) |
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Abstract: This short paper presents a new model of the market capitalization of Bitcoin that builds upon a standard model based upon Metcalfe’s Law. The model incorporates the logistic diffusion of the innovation, which could be extended to capture population and economic factors. This model appears to have some improved efficacy over the standard model. Using this model, some areas for future research are briefly discussed. |
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Keywords: Cryptocurrency; Metcalfe’s Law; Diffusion of innovation |
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Chi-Wei Su, Zheng-Zheng Li, Ran Tao, Deng-Kui Si, |
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Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test, |
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Japan and the World Economy, |
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Volume 46, |
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2018, |
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Pages 56-63, |
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ISSN 0922-1425, |
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https://doi.org/10.1016/j.japwor.2018.03.004. |
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(http://www.sciencedirect.com/science/article/pii/S0922142517301482) |
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Abstract: This study investigates whether bubbles exist in Bitcoin markets and tracks when they will occur and collapse. We apply the generalized sup Augmented Dickey-Fuller test method proposed by Phillips et al. (2013). The results show that there have been four explosive bubbles in China and the U.S. market, primarily occurring during the periods of huge surges in Bitcoin prices. This is consistent with the bubble model improved by Gurkaynak (2008), in which asset price is decomposed into fundamental and bubble components. In particular, exogenous shocks, including foreign or domestic economic events, lead to the origination of bubbles. A serious financial crisis may trigger long-term and large-scale bubbles, whereas relatively short-term bubbles are caused by domestic components. It can be inferred that Bitcoin can be used as a hedge against market-specific risk. Finally, Bitcoin bubbles collapse due to administrative intervention by economic authorities. Therefore, the government should manage public expectations to maintain confidence in authority and reduce speculation behavior to stabilize the asset price and financial market. |
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Keywords: Bitcoin; Price bubble; Speculation; GSADF |
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Elie Bouri, Rangan Gupta, Amine Lahiani, Muhammad Shahbaz, |
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Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices, |
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Resources Policy, |
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Volume 57, |
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2018, |
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Pages 224-235, |
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ISSN 0301-4207, |
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https://doi.org/10.1016/j.resourpol.2018.03.008. |
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(http://www.sciencedirect.com/science/article/pii/S0301420718300163) |
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Abstract: Unlike prior studies, this study examines the nonlinear, asymmetric and quantile effects of aggregate commodity index and gold prices on the price of Bitcoin. Using daily data from July 17, 2010 to February 2, 2017, we employed several advanced autoregressive distributed lag (ARDL) models. The nonlinear ARDL approach was applied to uncover short- and long-run asymmetries, whereas the quantile ARDL was applied to account for a second type of asymmetry, known as the distributional asymmetry according to the position of a dependent variable within its own distribution. Moreover, we extended the nonlinear ARDL to a quantile framework, leading to a richer new model, which allows testing for distributional asymmetry while accounting for short- and long-run asymmetries. Overall, our results indicate the possibility to predict Bitcoin price movements based on price information from the aggregate commodity index and gold prices. Importantly, we report the nuanced result that most often the relations between bitcoin and aggregate commodity, on the one hand, and between bitcoin and gold, on the other, are asymmetric, nonlinear, and quantiles-dependent, suggesting the need to apply non-standard cointegration models to uncover the complexity and hidden relations between Bitcoin and asset classes. |
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Keywords: Cointegration; Asymmetry; Nonlinearity; Quantile dependence; Bitcoin; Commodity; Gold |
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Dirk G. Baur, KiHoon Hong, Adrian D. Lee, |
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Bitcoin: Medium of exchange or speculative assets?, |
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Journal of International Financial Markets, Institutions and Money, |
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Volume 54, |
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2018, |
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Pages 177-189, |
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ISSN 1042-4431, |
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https://doi.org/10.1016/j.intfin.2017.12.004. |
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(http://www.sciencedirect.com/science/article/pii/S1042443117300720) |
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Abstract: Bitcoin is defined as digital money within a decentralized peer-to-peer payment network. It is a hybrid between fiat currency and commodity currency without intrinsic value and independent of any government or monetary authority. This paper analyses the question of whether Bitcoin is a medium of exchange or an asset and more specifically, what is its current usage and what usage will prevail in the future given its characteristics. We analyse the statistical properties of Bitcoin and find that it is uncorrelated with traditional asset classes such as stocks, bonds and commodities both in normal times and in periods of financial turmoil. The analysis of transaction data of Bitcoin accounts shows that Bitcoins are mainly used as a speculative investment and not as an alternative currency and medium of exchange. |
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Keywords: Bitcoin; Digital currency; Alternative currency; Medium of exchange; Asset class; Safe haven |
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Wang Chun Wei, |
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The impact of Tether grants on Bitcoin, |
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Economics Letters, |
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Volume 171, |
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2018, |
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Pages 19-22, |
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ISSN 0165-1765, |
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https://doi.org/10.1016/j.econlet.2018.07.001. |
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(http://www.sciencedirect.com/science/article/pii/S0165176518302556) |
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Abstract: In recent years, Tether issuances (or ‘grants’) have increased significantly, which correlated broadly with a significant rise in Bitcoin valuation. This paper examines the impact of cryptocurrency issuances on subsequent cryptocurrency returns. It is argued that as Tether is the undisputed ‘stable coin’, the minting of new Tether acts similarly to monetary expansion in cryptocurrency markets, inflating the prices of Bitcoin. We construct a VAR model and show contrary to investor expectations, Tether issuances do not impact subsequent Bitcoin returns, however, they do impact traded volumes. We also document an increase in Tether trading following a subsequent decrease in Bitcoin returns. |
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Keywords: Bitcoin; Tether; Cryptocurrency |
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Anne H. Dyhrberg, Sean Foley, Jiri Svec, |
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How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets, |
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Economics Letters, |
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2018, |
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, |
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ISSN 0165-1765, |
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https://doi.org/10.1016/j.econlet.2018.07.032. |
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(http://www.sciencedirect.com/science/article/pii/S0165176518302921) |
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Abstract: We examine the investibility of Bitcoin by exploring the trading dynamics and market microstructure of Bitcoin on three U.S. cryptocurrency exchanges using high frequency intraday data of individual trades and quotes. Although all exchanges offer continuous trading, we find that the highest trading activity, highest volatility and lowest spreads coincide with U.S. market trading hours, suggesting that most trades are non-algorithmic and executed by retail investors. We further find that average quoted and effective spreads for Bitcoin are lower than spreads on major equity exchanges, implying that Bitcoin is highly investible for retail size transactions. |
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Keywords: Bitcoin; Cryptocurrency; Market microstructure; Intraday patterns |
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Non-macro cryptoeconomics: