Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification

Yarovaya, Larisa; Zięba, Damian

doi:10.1016/j.ribaf.2021.101592

Cited by 33 publications

(11 citation statements)

References 32 publications

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“…According to research, coworkers' and friends' thoughts and deeds have an impact on people at the individu al level of blockchain volatility (Pagnotta, 2022). Also, it is a significant element in enhancing consumer behaviour and intention (Yarovaya & Zięba, 2022). Few researchers mention that if volatility is high, behaviour intention is low (Assaf, Bilgin, & Demir, 2022).…”

Section: Blockchain Volatility and Behavior Intentionmentioning

confidence: 99%

Factors affecting the blockchain operation in Asia-Europe

Miraz,

Jin,

Hasan

et al. 2024

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This study's primary goal is to identify the factors that affect the blockchain in retail markets to support more significant benefits to retail customers. Also, this study constructs blockchain facilities, blockchain volatility, blockchain transactions, blockchain intentions, and blockchain operations. This research also used a questionnaire survey; this research collects primary data from consumers in Asia and Europe. The researcher also presents the underlying theory, the theoretical structure, and the hypotheses through systematic random sampling to ensure the research objectives. Besides that, there were 233 responses to the survey questions sent to retail consumers. PLS-SEM tools are used for data analysis. The study's findings are that the Blockchain facility, blockchain volatility, and blockchain transaction were all found to positively impact the blockchain operation (dependent variable) in the Asia-Europe retail market via the mediation of behavior intention. The outcome of this research offers a valuable understanding of blockchain adoption in developing and developed countries. In addition to academic contributions, this paper’s findings are significant for blockchain companies and their operations in developing countries. Additionally, blockchain is beneficial to the Asia-Europe retail market. Hence, this study offers a considerable foundation for comprehending the associations between blockchain and the retail industry. This study did not consider SMEs or general industries. Also, this study's scope is limited to Asia and Europe. Additionally, this study solely employed cross-sectional data. Future studies should use longitudinal data to better understand how the link develops.

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Section: Blockchain Volatility and Behavior Intentionmentioning

confidence: 99%

Factors affecting the blockchain operation in Asia-Europe

Miraz,

Jin,

Hasan

et al. 2024

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“…Moreover, using daily, weekly and monthly data frequencies, De la O González et al [54] showed the existence of a long-term relationship in the case of ten cryptocurrencies before the COVID-19 period (January 2015-March 2020). Yarovaya et al [55] reported that data frequency is important in determining the causal relationship between the volume of trading and price; it is stronger with a higher fre-quency and weaker as the frequency decreases, as shown in the case of 30 cryptocurrencies from February 2018 to July 2019.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach

Núñez-Mora,

Contreras-Valdez,

Santillán-Salgado

2023

Mathematics

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This paper reports our findings on the return dynamics of Bitcoin and Ethereum using high-frequency data (minute-by-minute observations) from 2015 to 2022 for Bitcoin and from 2016 to 2022 for Ethereum. The main objective of modeling these two series was to obtain a dynamic estimation of risk premium with the intention of characterizing its behavior. To this end, we estimated the Generalized Autoregressive Conditional Heteroskedasticity in Mean with Normal-Inverse Gaussian distribution (GARCH-M-NIG) model for the residuals. We also estimated the other parameters of the model and discussed their evolution over time, including the skewness and kurtosis of the Normal-Inverse Gaussian distribution. Similarly, we determined the parameters that define the evolution of the estimated variance, i.e., the parameters related to the fitted past variance, square error and long-term average value. We found that, despite the market uncertainty during the COVID-19 emergency period (2020 and 2021), the selected cryptocurrencies’ return volatility and kurtosis were even greater for several other subperiods within our sample’s time frame. Our model represents an analytical tool that estimates the risk premium that should be delivered by Bitcoin and Ethereum and is therefore of interest to risk managers, traders and investors.

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“…Blockchain technology has advanced significantly over the last ten years and has opened various channels for technical advancement. One of the blockchain innovations that has contributed to the growth of the financial market and received the most incredible attention is cryptocurrency (Hsu et al 2021;Katsiampa 2019;Yarovaya and Zięba 2022). Unlike traditional finance, it provides a transactional channel without needing to be processed through a central bank or financial intermediaries, called decentralized networks.…”

Section: Introductionmentioning

confidence: 99%

“…Additionally, during the past ten years, the Bitcoin market has developed significantly and overgrown. Bitcoin has progressively established a reputation as a crucial hedge in the global financial system (Kumar et al 2022;Wang et al 2021;Yarovaya and Zięba 2022;Zhang et al 2021). Due to its distinct anti-government characteristics and autonomy from a sovereign authority, Bitcoin is regarded as a remedy for unstable markets (Sensoy et al 2021).…”

Section: Introductionmentioning

confidence: 99%

Risk Spillovers between Bitcoin and ASEAN+6 Stock Markets before and after COVID-19 Outbreak: A Comparative Analysis with Gold

Sinlapates

Sriwong

Chancharat

2023

JRFM

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This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide compelling evidence of cross-market shock and volatility transmission between stock returns and Bitcoin returns in both directions. Therefore, the dynamics of Bitcoin returns significantly influence the volatility of stock returns, and the relationship also holds in reverse. All diagonal element estimations are statistically significant for both periods, as shown by the findings of the return and volatility spillovers between the returns of gold and the ASEAN+6 stock market. For most ASEAN+6 equity markets evaluated, Bitcoin and gold are not safe havens, and their inclusion increases the portfolio downside risk.

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Intraday volume-return nexus in cryptocurrency markets: Novel evidence from cryptocurrency classification

Cited by 33 publications

References 32 publications

Factors affecting the blockchain operation in Asia-Europe

Factors affecting the blockchain operation in Asia-Europe

Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach

Risk Spillovers between Bitcoin and ASEAN+6 Stock Markets before and after COVID-19 Outbreak: A Comparative Analysis with Gold

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