What causes the attention of Bitcoin?

Urquhart, Andrew

doi:10.1016/j.econlet.2018.02.017

Cited by 330 publications

(163 citation statements)

References 14 publications

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“…As Bitcoin has become widely recognized as payment medium, it has naturally attracted the interest of researchers. In recent years, a large number of studies focus on price properties and financial aspects of Bitcoin, such as hedging capabilities (Dyhrberg, 2016b), bubbles (Cheah and Fry, 2015), volatility analysis (Dyhrberg, 2016a;Katsiampa, 2017), multifractality (Takaishi, 2018), adaptive market hypothesis (Khuntia and Pattanayak, 2018), transaction activity (Koutmos, 2018), Taylor effect (Takaishi and Adachi, 2018), investor attention (Urquhart, 2018), and long memory effects (Phillip et al, 2018).…”

Section: Introductionmentioning

confidence: 99%

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Takaishi

Adachi

2019

Asia-Pac Financ Markets

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This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.

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Section: Introductionmentioning

confidence: 99%

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Takaishi

Adachi

2019

Asia-Pac Financ Markets

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“…We extend prior research on market dynamics and instead focus on the individuals who buy and sell cryptocurrencies and their trading behavior. As such, we build on the work that has to date used search and brokerage data to understand who engages in cryptocurrency trading (Hasso, Pelster, & Breitmayer, 2019;Urquhart, 2018;Yelowitz & Wilson, 2015), and similarly to Baur and Dimpfl (2018) we contribute evidence in an area where economic models have previously been proposed but not empirically tested.…”

Section: Introductionmentioning

confidence: 99%

Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts

2019

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Are cryptocurrency traders driven by a desire to invest in a new asset class to diversify their portfolio or are they merely seeking to increase their levels of risk? To answer this question, we use individual-level brokerage data and study their behavior in stock trading around the time they engage in their first cryptocurrency trade. We find that when engaging in cryptocurrency trading investors simultaneously increase their risk-seeking behavior in stock trading as they increase their trading intensity and use of leverage. The increase in risk-seeking in stocks is particularly pronounced when volatility in cryptocurrency returns is low, suggesting that their overall behavior is driven by excitement-seeking.

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“…Bitcoin thu hút nhà đầu tư và truyền thông thông qua công nghệ hiện đại, tính đơn giản, minh bạch, và mức độ phổ biến 9 . Sử dụng từ khóa tìm kiếm trên Google để đại diện cho mức độ thu hút, Urquhart thấy rằng Bitcoin chịu tác động mạnh mẽ từ mối quan tâm trên thị trường 43 . Tính không chắc chắn về chính sách có tác động âm đến tỷ suất sinh lợi Bitcoin và tác động này trở nên tích cực tại phân vị thấp và cao của tỷ suất sinh lợi 44 .…”

Section: Cơ Sở Lý Thuyếtunclassified

Does Bitcoin share the same characteristics as a financial asset? Empirical evidence through the monetary policy

Thư

Dương

2020

Sci. Tech. Dev. J. Econ. Law. Manag.

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The cryptocurrency market, especially Bitcoin, has been received much attention from investors in the market. They often pay attention to which factors determine Bitcoin prices in order to make an investment decision more correctly. Therefore, the research focuses on the determinants of Bitcoin prices in the market based on previous studies relevant to stocks. In addition, to control variables including stock prices, gold prices, and exchange rates, the study also emphasizes on the monetary policy of the two great countries considered to have a strong influence on the volatility of the cryptocurrency market, the US and China. Data in the research are collected from reliable sources (coinmarketcap.com for Bitcoin data and Euromonitor for data on interest rates of the monetary policy). The study collects daily data for Bitcoin prices and monthly data for macroeconomic variables in the period of 2010 – 2018. With regard to the time series data, the research applies two econometric methods, GARCH and EGARCH, to evaluate the difference between positive and negative shocks of the monetary policy towards Bitcoin prices. The results indicate that interest rates of the Chinese and American monetary policy have a converse relationship with Bitcoin prices. Besides, control variables show a statistically significant association with Bitcoin prices. In conclusion, the research suggests that Bitcoin has the characteristics of a financial asset based on its similarities over determinants between stocks and Bitcoin.

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What causes the attention of Bitcoin?

Cited by 330 publications

References 14 publications

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study

Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts

Does Bitcoin share the same characteristics as a financial asset? Empirical evidence through the monetary policy

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