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Volatility in the Cryptocurrency Market
Open Economies Review, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Jinan, Serletis, Apostolos
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Investor Attention in Cryptocurrency Markets
SSRN Electronic Journal, 2021Abstract We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin, and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets.
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Volatility discovery in cryptocurrency markets
The Journal of Risk Finance, 2020PurposeCryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market.Design/methodology/approachThe paper extracts each of the cryptocurrency's ...
Thomas Dimpfl, Dalia Elshiaty
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Herding Behavior and Liquidity in the Cryptocurrency Market
Asia-Pacific Journal of Operational Research, 2021In view of explosive trends and excessive trades in the cryptocurrency markets, this paper contributes to the existing literature by bringing in the limelight the effect of liquidity on the herding behavior in the cryptocurrency market. Results from a first applied herding model including contemporaneous and lagged squared market returns demonstrated ...
Sonia Arsi, Khaled Guesmi, Elie Bouri
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MAX momentum in cryptocurrency markets
International Review of Financial Analysis, 2020This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect due to its lottery-like features (i.e., large positive skewness).
Yi Li +3 more
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The Market for Cryptocurrencies
SSRN Electronic Journal, 2014Although it is sometimes considered one of a kind, or a first-mover monopolist in the market for cryptocurrencies, Bitcoin is surrounded by effective competitors. Between March 2013 and December 2014, while the market capitalization of Bitcoin grew four-fold, the market cap of other cryptocurrencies (“altcoins”) in the aggregate grew twelve-fold ...
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Arbitrage in the Market for Cryptocurrencies
SSRN Electronic Journal, 2020Recent literature has documented substantial arbitrage opportunities in markets for cryptocurrencies. Given these rather surprising findings, we re-examine the exchange rates of four cryptocurrencies on 21 exchanges with data from October 2018 to June 2019.
Tommy Crépelière, Stefan Zeisberger
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Are Cryptocurrency Markets, Efficient Markets?
SSRN Electronic Journal, 2020This paper examines the market efficiency of three key cryptocurrency markets namely: Bitcoin, Ethereum and Monero, before and during the COVID-19 pandemic. This research makes use of a Durbin-Watson test and a non-parametric runs test to test for weak-form efficiency, and two comprehensive event studies to test for semi-strong form and strong form ...
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Regulation Spillovers across Cryptocurrency Markets
SSRN Electronic Journal, 2019Abstract Several countries have already introduced restrictions on trading of cryptocurrencies, and many more are evaluating whether to follow suit. We document an unprecedented drop in trading volume on the Chinese cryptocurrency market after a recent regulatory change by the Chinese authorities that severely restricted bitcoin trading.
Nicola Borri, Kirill Shaknov
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