Bitcoin as an alternative investment vehicle

Hong, Ki-Hoon

doi:10.1007/s10799-016-0264-6

Cited by 54 publications

(36 citation statements)

References 11 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Although bitcoin was established as a payment system, eliminating intermediaries from the money relationship chain, it is unlikely to become popular among the population as an instrument of payment (Hong, 2016;Ciaian, Rajcaniova, & Kancs, 2016). However, bitcoin is not subject to depreciation as the national currency is, it also does not depend on the control and regulating public bodies.…”

Section: Resultsmentioning

confidence: 99%

Fair market value of bitcoin: halving effect

Meynkhard

2019

Investment Management and Financial Innovations

View full text Add to dashboard Cite

The purpose of this article is to analyze the effect that halving has on the fair market value of bitcoins. The main hypothesis of the study is that the decline in the cost of miners' remuneration for mining is a significant factor that affects the price of cryptocurrencies. The article examines the factors that regulate the issuing process. The significance of a limited supply of bitcoin is detailed in the article, as well as the mechanism for the implementation of the issue of new bitcoins. The study compares the historical inflation data of the US dollar and the projected data on the inflation of bitcoin. The article analyzes the main technical element of cryptocurrency -halving -when the miner's reward is halved. This analysis includes the mathematical methods of statistical data processing. Research results show that reducing remuneration by half every four years leads to an increased market value of the cryptocurrency. This relationship is clearly illustrated by the Kendall rank correlation method.The results of the study can have a significant impact on the fundamental assessment of bitcoin and can also enable investors to assess any of the existing and operating cryptocurrencies according to this method. Artur Meynkhard (Russia)Fair market value of bitcoin: halving effect

show abstract

Section: Resultsmentioning

confidence: 99%

Fair market value of bitcoin: halving effect

Meynkhard

2019

Investment Management and Financial Innovations

View full text Add to dashboard Cite

show abstract

“…Vassilladis, Papadopoulos, Ranquoussi, and Konieczny (2017) found that there is a correlation between Bitcoin prices and stock prices. Hong (2017) showed that Bitcoin returns are similar to those of the other asset returns over a shorter time span. Stock prices may have to be taken into account when examining the Bitcoin's price along with exchange rates and Bitcoin's trading volume.…”

Section: Introductionmentioning

confidence: 83%

How Does Price of Bitcoin Volatility Change?

Kurihara¹,

Fukushima²

2018

IREF

View full text Add to dashboard Cite

The trading volume of Bitcoin has increased immensely since its conception. Bitcoin is a cryptocurrency, it is not a legal currency but rather a private monetary system that manages by itself and does not depend on governments or central banks. It is an autonomous currency system that is not liable to any governing body. Some fear that the increase of Bitcoin usage, as it is quite different from traditional currencies and is free from control or regulations by monetary authorities. Although its popularity has grown worldwide, fluctuations of the prices are sometimes erratic. Hence, such large and sudden movements would dampen the sound development of Bitcoin. This paper examines how the volatile price of Bitcoin changes empirically. The empirical results show that there is a difference between short-term volatility and long-term volatility. Traders should see not only the short-term movements in volatile Bitcoin pricing but also long-term developments.

show abstract

“…returns outperformed an S & P 500 portfolio, with less risk, as measured by volatility and skewness. Only the kurtosis measure of risk, was higher for the[22] time series momentum portfolio of stocks and bitcoins.…”

mentioning

confidence: 88%

“…tate increasing returns with annualized returns of 36.11%, though they were less successful in reducing risk [22]. returns outperformed an S & P 500 portfolio, with less risk, as measured by volatility and skewness.…”

mentioning

confidence: 95%

The Valuation of Cryptocurrencies in Single-Asset and Multiple-Asset Models

Abraham¹,

Tao²

2019

TEL

View full text Add to dashboard Cite

Cryptocurrencies are virtual currencies employed in blockchain transactions. They are particularly worthy of theoretical examination, given the limited academic literature on the subject. This paper constructs valuation models of bitcoin and altcoins, both as single investments and components of mutliple-asset portfolios. As single investments, cryptocurrencies are valued at the confluence of Legendre utility functions, with Esscher transformed Geometric Levy pricing processes. As part of portfolios, cryptocurrencies are contained in traditional Markowitz portfolios which are varied by increasing the proportion of the riskless asset, shorting the risky asset, or adding currency options. Theoretical formulations show that Markowitz models combined with bitcoin, located on the Capital Market Line (which we term CML portfolios), have low returns, mainly due to the presence of the riskless asset. Such portfolios are appropriately suited to the investment goals of risk-averse traders, while overlooking the preferences of risk-takers. To satisfy less riskaverse investors, we propose a high-return portfolio with 9 asset choices, consisting of risky assets, cryptocurrencies, US dollars, soybean futures, Treasury bond futures, oil futures, currency options on the US dollar, currency options on the Mexican peso, and technology, or biotechnology stocks. Laplace transforms are employed to suppress volatility, skewness, or kurtosis of returns, which empirical studies have found to contribute to tail risk contained in outliers in fat-tailed distributions.

show abstract

Bitcoin as an alternative investment vehicle

Cited by 54 publications

References 11 publications

Fair market value of bitcoin: halving effect

Fair market value of bitcoin: halving effect

How Does Price of Bitcoin Volatility Change?

The Valuation of Cryptocurrencies in Single-Asset and Multiple-Asset Models

Contact Info

Product

Resources

About