Results 11 to 20 of about 1,792 (206)

Investor Attention in Cryptocurrency Markets

SSRN Electronic Journal, 2021
Abstract 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.
Smales LA.
europepmc   +2 more sources

Herding and feedback trading in cryptocurrency markets. [PDF]

Ann Oper Res, 2021
This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across ...
King T, Koutmos D.
europepmc   +6 more sources

Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis [PDF]

Financial Innovation, 2022
This study investigates the dynamic mechanism of financial markets on volatility spillovers across eight major cryptocurrency returns, namely Bitcoin, Ethereum, Stellar, Ripple, Tether, Cardano, Litecoin, and Eos from November 17, 2019, to January 25 ...
Onur Özdemir
doaj   +2 more sources

Pairs Trading in Cryptocurrency Markets [PDF]

IEEE Access, 2020
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well for equities, their performance is unknown for the field of cryptocurrencies, usually perceived as ...
Miroslav Fil, Ladislav Kristoufek
doaj   +3 more sources

Signed Connectedness Among Cryptocurrencies, NFTs, and Foreign Exchange Markets [PDF]

Entropy
Existing approaches mainly characterize connectedness in four dimensions: node size, direction, spillover magnitude between nodes, and time variation. However, the sign of spillovers has not been explicitly incorporated into the analysis. To address this
Shuang Yang, Xu Zhang, Wenting Xu
doaj   +2 more sources

Arbitrage in the market for cryptocurrencies [PDF]

Journal of Financial Markets, 2023
Arbitrage opportunities in markets for cryptocurrencies are well-documented. In this paper, we confirm that they exist; however, their magnitude decreased greatly from April 2018 onward. Analyzing various trading strategies, we show that it is barely possible to exploit existing price differences since then.
Crépellière, Tommy, Pelster, Matthias, Zeisberger, Stefan   +2 more
openaire   +2 more sources

Is There Any Witching in the Cryptocurrency Market? [PDF]

Journal of Risk and Financial Management, 2022
This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and the trading simulation approach) to daily and weekly ...
Alex Plastun, Ludmila Khomutenko, Serhii Bashlai   +2 more
openaire   +3 more sources

Competition in the Cryptocurrency Market [PDF]

SSRN Electronic Journal, 2014
Les auteurs analysent l’incidence des effets de réseau sur la concurrence au sein du jeune marché des cryptomonnaies. Pour ce faire, ils examinent l’évolution des taux de change entre les cryptomonnaies au fil du temps. Plus particulièrement, ils étudient : 1) la concurrence entre diverses cryptomonnaies et 2) la concurrence entre les plateformes où ...
Gandal, Neil, Halaburda, Hanna
openaire   +6 more sources

Cryptocurrency volatility markets [PDF]

Digital Finance, 2020
AbstractBy computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities.
openaire   +4 more sources

Persistence in the cryptocurrency market [PDF]

Research in International Business and Finance, 2017
This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017.
Caporale, GM, Gil-Alana, L, Plastun, A
openaire   +6 more sources