The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin

Li, Xin; Wang, Chong Alex

doi:10.1016/j.dss.2016.12.001

Cited by 395 publications

(245 citation statements)

References 49 publications

Supporting

Mentioning

201

Contrasting

Unclassified

Order By: Relevance

“…Given that Bitcoin does not provide any cash flows like most of equities and bonds, its price is often affected by supply-demand imbalances, Bitcoin's attractiveness Kristoufek, 2015), macrofinancial developments (Li & Wang, 2017), technological factors and computer programming enthusiasts (Yelowitz & Wilson, 2015), energy (Bouri, Jalkh, Molnár, & Roubaud, 2017), or trading volume (Balcilar, Bouri, Gupta, & Roubaud, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

et al. 2018

View full text Add to dashboard Cite

Motivated by the emergence of Bitcoin as a speculative financial investment, the purpose of this paper is to examine the persistence in the level and volatility of Bitcoin price, accounting for the impact of structural breaks. Using parametric and semiparametric techniques, we find strong evidence in favour of a permanency of the shocks and lack of mean reversion in the level series. We also reveal evidence of structural changes in the dynamics of Bitcoin. After accounting for the structural breaks in the level series, evidence of mean reversion is uncovered in some cases. Further analyses show evidence of a long memory in the two measures of volatility (absolute and the squared returns), whereas some cases of short memory are revealed in the squared returns series in particular. Practical implications are discussed on the inefficiency in the Bitcoin market and its importance for Bitcoin users and investors.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

et al. 2018

View full text Add to dashboard Cite

show abstract

“…Cryptocurrencies and especially bitcoin have received increasing attention in the academic finance literature in recent years. Much of this study focuses on issues such as long‐ and short‐term determinants of the exchange value of bitcoin (e.g., Kristoufek, 2015; Li & Wang, 2017; Mai, Shan, Bai, Wang, & Chiang, 2018), the market efficiency of bitcoin (e.g., Köchling, Müller, & Posch, 2019; Urquhart, 2016), the diversification effects and connectedness of bitcoin with other financial assets (e.g., Bouri, Jalkh, Molnár, & Rouband, 2017; Brière, Oosterlinck, & Szafarz, 2015; Corbet, Lucey, Peat, & Vigne, 2018; Dyhrberg, 2016), illegal activities (e.g., Foley, Karlsen, & Putniņš, 2019), or the price discovery process among bitcoin trading venues (e.g., Brandvold, Molnár, Vagstad, & Valstad, 2015; Pagnottoni & Dimpfl, 2019).…”

Section: Introductionmentioning

confidence: 99%

The determinants of price discovery on bitcoin markets

Entrop

Frijns

Seruset

2020

Journal of Futures Markets

View full text Add to dashboard Cite

This paper investigates whether market quality, uncertainty, investor sentiment and attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017–March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are mainly driven by relative trading costs and volume, and uncertainty to a lesser extent. Additionally, medium‐sized trades contain most information in terms of price discovery. Finally, higher news‐based bitcoin sentiment increases the informational role of the futures market, while attention and macroeconomic news have no impact on price discovery.

show abstract

“…Li and Chong [11] found that the value of bitcoins, when regarded in exchange to conventional currency, are influenced in several ways in the short-run and long-run; from the economic angle, during early days of Bitcoin trading, long-run exchange rates are very much influenced by market forces, which points at speculation being more representative of bitcoins holders. However, in Bitcoin's later market, they found that speculation ceases to influence long-run exchange rates and consequently short-run exchange runs are also affected by economic situations in the country where the exchange currency is denominated instead.…”

Section: A Risk Hedging Toolmentioning

confidence: 99%

“…As a result, powerful computers and processors are used to mine bitcoins. As of 2014, Field Programmable Gate Array-based devices, often referred to as FPGA devices, have gain widespread popularity as bitcoin mining tools [11].…”

Section: Bitcoin Creation Processmentioning

confidence: 99%