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1.
Stylized facts of returns and volatility are an important approximation tool for empirical finance studies, especially in the area of young and new assets. In this paper, we examine the return and volatility properties of four non-fungible tokens (NFTs) and four cryptocurrencies from 24th January 2018–2nd August 2022. The results show the following: Firstly, the returns of both NFTs and cryptocurrencies have fat tails, with evidence of tail exponents following the inverse cubic-law, along with clear persistence behavior. Secondly, all returns exhibit volatility clustering, albeit to varying degrees, and the detected absence of inverse volatility-asymmetry challenges the safe-haven property often documented for cryptocurrencies. Thirdly, return-based long-memory is slightly more intense than volatility-based long-memory, especially for NFTs, which demonstrate a predictability contesting market efficiency. These findings are generally consistent with previous findings on equities, implying that the return and volatility behavior of NFTs and cryptocurrencies is leaning towards that of traditional assets. 相似文献
2.
Central Bank Digital Currencies (CBDC) are a digital innovation based upon distributed ledger and smart contract technology. In this paper we examine how potential users of CBDC technology willingly disclose their personal information. The researchers conducted an online quantitative survey which investigates the privacy perceptions of consumers. Using the privacy calculus theory lens, this study looks at the potential benefits of CBDC and how these influence user perceptions towards privacy disclosure. While this research suggests that participants in the study had negative perceptions in relation to the disclosure of personal information, many were willing to offset these concerns if there are significant benefits in the usage of CBDC. Factors such as ease of use, convenience, availability, and credibility were viewed as key benefits in this scenario. Thus, future banking strategies and marketing approaches need to consider these components to foster CBDC adoption. 相似文献
3.
Using regulatory data with identifiers, we analyze the traders active in the Bit- coin futures (BTC) contracts traded on the Chicago Mercantile Exchange (CME). We find two primary trader types, those who hold almost exclusively BTC (con- centrated traders) and those who hold BTC to diversify a broader futures portfolio (diversified traders). The prevalence of these two types changes over time. We also study how BTC markets are connected to other futures markets through common holdings of BTC traders. Finally, we analyze the micro BTC contract and find that the trader composition is different than that of the full-size contract. 相似文献
4.
This paper uses a unique dataset of 120 regulatory events from five classes to test the relevance of the regulatory framework for cryptocurrency value. Time-series market-wide estimates and panel estimates for 300 individual coins and tokens show statistically and economically significant impact of anti-money laundering and issuance regulation. Tighter regulation and more active role of government decrease cryptocurrency prices, evidencing that potentially lower risks and wider adoption commonly attributed to the establishment of the regulatory framework do not compensate for respective efficiency and consumer utility losses. The market is generally efficient in reflecting regulatory information in cryptocurrency prices. 相似文献
5.
This study employs a non-linear framework to investigate the impacts of central bank digital currency (CBDC) news on the financial and cryptocurrency markets. The time-varying vector autoregressive (TVP-VAR) model developed by Primiceri (2005) is estimated based on weekly data from the first week of January 2015 to the last week of December 2021. The vector of endogenous variables in the VAR estimation contains the Central Bank Digital Currency uncertainty index (CBDCU), cryptocurrency policy uncertainty index, S&P 500 index, VIX, and Bitcoin price. The TVP-VAR model’s time-varying responses demonstrated that the reactions of the cryptocurrency market to central bank digital currency announcements vary remarkably over time. The impacts of the CBDC shocks on the financial market have been increasingly visible during the COVID-19 pandemic. According to the time-varying forecast error decompositions, CBDCU and VIX shocks have accounted for most of the variance in cryptocurrency uncertainty and Bitcoin return shocks, notably during the COVID-19 period. 相似文献
6.
In this paper we use to estimate the conditional tail-risk in the markets for bitcoin, ether, ripple and litecoin and find that these cryptocurrencies are highly exposed to tail-risk within cryptomarkets, while they are not exposed to tail-risk with respect to other global assets, like the U.S. equity market or gold. Although cryptocurrency returns are highly correlated one with the other, we find that idiosyncratic risk can be significantly reduced and that portfolios of cryptocurrencies offer better risk-adjusted and conditional returns than individual cryptocurrencies. These results indicate that portfolios of cryptocurrencies could offer attractive returns and hedging properties when included in investors’ portfolios. However, when we account for liquidity, the share of crypto assets in investors’ optimal portfolio is small. 相似文献
7.
The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public’s attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories from the LexisNexis News & Business database and applies the historical decomposition to assess the historical variations of the NFTsAI. Then the empirical analysis is performed via a TVP-VAR volatility spillover connectedness model. The empirical results show that NFTsAI indicates NFT markets are dominated by cryptocurrency, DeFi, equity, bond, commodity, F.X. and gold markets. And NFT markets are volatility spillover receivers. In addition, NFT assets could impede financial contagion and have significant diversification benefits. Employing a panel pooled OLS regression model as a supplementary analysis and a GARCH-MIDAS model as a robustness test. This study reveals that NFTsAI has sufficient power to explain the return of NFT assets from a fixed effect perspective, and NFTsAI contains useful forecasting information for both short and long-term volatility of NFT markets, separately. The new NFTsAI and the empirical findings contain useful insights for risk-averse investors, portfolio managers, institutional investors, academics and financial policy regulators. 相似文献
8.
数字经济促进经济快速发展的同时,也滋长了市场支配地位滥用,垄断市场或进行不正当竞争,侵害消费者权益,甚至危及一国经济或金融安全。中国网络平台运营法治化路径是：以明确平台责任为基础,将大型在线平台作为主要监管对象,对大型在线平台的垄断问题进行法律规制,营造公平竞争的市场环境;以消费者权益保护作为网络平台运营法治化的目标;规定平台等级区分与责任承担相一致原则;进一步明确违法惩戒的法律措施。 相似文献
9.
We examine how liquidity affects cryptocurrency market efficiency and study commonalities in anomaly performance in cryptocurrency markets. Based on the unique features of cryptocurrencies, we build a model with anonymous traders valuing cryptocurrencies as payments for goods and investment assets, and find that decreases in funding liquidity translate into lower asset liquidity in the cryptocurrency market. Empirically, we observe that many widely recognized stock market anomalies also exist in the cryptocurrency market, although some have opposite long and short legs. We also find evidence that a decrease in cryptocurrency liquidity enhances anomalous returns while preventing the cryptocurrency market from achieving efficiency. 相似文献
10.
Bitcoin was created in 2008 to serve as an alternative payment mechanism for both the under-banked and un-banked, or those in regions where the formal financial system suffers from broad corruption and efficient regulation. However, criminals and terrorists quickly exploited Bitcoin's unique properties, namely its peer-to-peer nature and pseudo-anonymity, to facilitate extensive terrorist financing and money laundering schemes. Government reactions to safeguard national security interests have been extremely varied, ranging from outright bans to passive tolerance. This inconsistency stems from how to effectively classify Bitcoin. On one side are those who argue Bitcoin is a currency, and on the other are those who claim it is a type of asset. In the US alone, these discrepancies have led to a bureaucratic turf war between different regulatory bodies, namely the Financial Crimes Enforcement Network, the Commodity Futures Trading Association, the Securities and Exchange Commission, and the Internal Revenue Service. This study seeks to move beyond the existing legal frameworks, arguing that Bitcoin should be classified as a technology and regulation should rest with private sector technology companies. 相似文献
11.
We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression. We capture important features of the network, including major risk-driving and major risk-receiving currencies, and the evolution of the tail dependence among the currencies over time. Importantly, we reveal a striking finding that the right tail dependence among the cryptocurrencies is significantly stronger than the left tail counterpart. This unique characteristic may have contributed to the rise in popularity of cryptocurrencies over the last few years. Our portfolio analysis reveals that diversification in cryptocurrency investment can be accomplished simply by employing the naïve equal-weighted scheme even when transaction costs are taken into account. 相似文献
12.
本文以中国境内所有的代币发行融资项目为研究对象,研究代币发行融资对初创企业生存时间的影响。研究发现,相比股权融资,代币发行融资会显著缩短初创企业的寿命。这一结论在增加控制变量和使用工具变量等方法后依然稳健。渠道检验的结果显示,代币发行融资阻碍了初创企业人力资本的进一步深化,从而缩短了企业的持续经营时间。从代币发行融资的宏观经济后果来看,代币发行融资所造成的不良影响恶化了地区的信用环境,从而显著提高了地区的融资成本。进一步研究表明,代币发行融资对初创企业的负面影响在信息披露水平较低、不受关注以及缺少媒体监督的样本中更加显著。本文揭示了代币发行融资带来的负面影响,为禁止代币发行融资等规范金融创新的政策提供了经验证据。 相似文献
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14.
We study the diversifier, hedge, and safe haven properties of stablecoins against traditional cryptocurrencies. Using the DCC-GARCH model and dummy variable regression, we examine the risk-dispersion abilities of USD-pegged and gold-pegged stablecoins against traditional cryptocurrencies, and also compare their risk-dispersion abilities with their underlying assets. The empirical results show that (i) stablecoins can serve as safe havens in specific situations, although most act merely as an effective diversifier in normal market conditions; (ii) gold-pegged stablecoins perform worse as safe havens than USD-pegged ones, but both of them perform better than their corresponding underlying assets, and (iii) the safe haven property of stablecoins changes across market conditions. The above results are robust when using time-varying copula models. We further evaluate the risk management applications of stablecoins by analyzing mixed cryptocurrency-stablecoin portfolios, finding evidence of USD-pegged stablecoins performing better than gold-pegged stablecoins in extreme risk reductions. Our work provides important insights into diversification for cryptocurrency investors. 相似文献
15.
Bitcoin pricing mechanism is a complex system of interactions between factors that are not standard for traditional financial assets. Its understanding is essential for assessing specific topics, most prominently the interaction between Bitcoin price and network’s hashrate as it directly translates into its power demand and consumption and thus also environmental implications. We examine an intertwined system of equations, controlling for various statistical caveats connected to such system, providing a coherent picture of the system dynamics and thus delivering the most rigorous and complex approach in explaining the pricing dynamics of the Bitcoin system up to date. We shown that the whole system is very well structured and delivers economically and logically sound results, pointing at the network security narrative in the Bitcoin price–hashrate nexus. 相似文献
16.
The cryptocurrency literature on technical analysis has largely ignored drivers of technical analysis return adjusted by transaction costs (i.e., adjusted returns). To that end, we propose a Heterogeneous Autoregressive Distributed Lag Model of Returns (HARDL-R) to examine the impact from EPU, VIX, and SP500 returns to adjusted returns. We provide evidence that these three drivers matter during bubble periods compared to non-bubble periods. When not differentiating bubble periods, we find that VIX is the only driver influencing the dynamics of adjusted returns from 2016 to 2021. These findings remain relatively stable after controlling for the volume of transactions. 相似文献
17.
Recent innovations have made it feasible to transfer private digital currency without the intervention of an organization such as a bank. Any currency must prevent users from spending their balances more than once, which is easier said than done with purely digital currencies. Current digital currencies such as Bitcoin use peer-to-peer networks and open source software to stop double spending and create finality of transactions. This paper explains how the use of these technologies and limitation of the quantity produced can create an equilibrium in which a digital currency has a positive value. This paper also summarizes the rise of 24/7 trading on computerized markets in Bitcoin in which there are no brokers or other agents. The average monthly volatility of returns on Bitcoin is higher than for gold or a set of foreign currencies in dollars, but the lowest monthly volatilities for Bitcoin are less than the highest monthly volatilities for gold and the foreign currencies. 相似文献
18.
This paper examines the predictability of realized volatility measures (RVM), especially the realized signed jumps (RSJ), on future volatility and returns. We confirm the existence of volatility persistence and future volatility is more strongly related to the volatility of past positive returns than to that of negative returns in the cryptocurrency market. RSJ-sorted cryptocurrency portfolios yield statistically and economically significant differences in the subsequent portfolio returns. After controlling for cryptocurrency market characteristics and existing risk factors, the differences remain significant. The investor attention explains the predictability of realized jump risk in future cryptocurrency returns. 相似文献
19.
Many central banks have now developed their digital currencies in response to the challenges posed by the proliferation of decentralised digital cryptocurrencies. However, little is known about the effects of the introduction of central bank digital currencies (CBDCs) on extant digital cryptocurrencies. This paper, therefore, aims to identify both the time- and frequency-domain spillover effects among cryptocurrency markets and a newly developed central bank digital currencies attention index (CBDCAI) by using two TVP-VAR-based spillover models. Our results demonstrate that CBDC attention significantly impacts cryptocurrency markets. Also, most investors in cryptocurrency markets are more likely to trade in the short term. The results of this study contribute to helping investors and investment institutions effectively avoid investment risks, reduce losses, and predict the return of some cryptocurrencies. Also help policymakers better understand the impact of markets and policies, and provide a reference for them to formulate policies. 相似文献
20.
This study analyzes the impact of economic policy uncertainty (EPU) on cryptocurrency returns for a sample of 100 highly capitalized cryptocurrencies from January 2016 to May 2021. The results of the panel data analysis and quantile regression show that increases in global EPU have a positive impact on cryptocurrency returns for lower cryptocurrency returns quantiles and an adverse impact for upper quantiles. In line with the existing literature, the Covid-19 pandemic resulted in higher returns for cryptocurrencies. Inclusion of a Covid-19 dummy in the models strengthened the impact of EPU on cryptocurrency returns. Furthermore, the relationship between the change in EPU and cryptocurrency returns was direct in the pre-Covid-19 period but inverse in the post-Covid-19 period. These results imply that cryptocurrencies act more like traditional financial assets in the post-Covid-19 era. 相似文献