Critical Review: Current Research Issues on Crypto-currency and its Application in Financial Sectors

Hin, Lim Hong

doi:10.5539/ijbm.v15n3p145

Cited by 2 publications

(2 citation statements)

References 6 publications

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“…On the other hand, few studies identified the cointegration among cryptocurrencies by using Johansen and Engle-Granger cointegration tests and found a robust relationship between cryptocurrencies and information transmission by employing Vector Auto-Regression (VAR) [32][33][34] . Few studies were carried out to know the relationship between Cryptocurrencies and other financial assets.…”

Section: Review Of Literaturementioning

confidence: 99%

Followness of Altcoins in the Dominance of Bitcoin: A Phase Analysis

Kulal

2021

macro. manag. & public. polic.

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Due to the transparency, simplicity, and blockchain system, cryptocurrencies gained popularity in the modern world. This led to more use of cryptocurrencies for speculation and investment rather than a medium of exchange. It is crucial to analyse the nature of the crypto market before investing in such currencies. With this intention, the paper tried to know the extent of following (Followness) of altcoins to the bitcoin in the different dominance phases like High Dominance, Low Dominance, and Moderate Dominance. For this purpose, daily closing prices of the Bitcoin and five major altcoins (Ethereum, Litecoin, Namecoin, Doge, and Ripple) are collected for the last five years and analyse the relationship between bitcoin and altcoins. Pearson's correlation coefficient test is used to know the direction of the relationship, and Vector Error Correction Model is used to see the extent of the relation. In general, the empirical result of the study showed cointegration between bitcoin and Altcoin. It also depicted that Altcoin showed a high level of followness in the moderate dominance phase and low followness in the low dominance phase. The study developed a price estimation equation to predict the price of altcoins depending upon the price of bitcoin and its dominance in the crypto market. This paper concludes that the dominance of Bitcoin also has a significant role in the price movement of altcoins.

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Section: Review Of Literaturementioning

confidence: 99%

Followness of Altcoins in the Dominance of Bitcoin: A Phase Analysis

Kulal

2021

macro. manag. & public. polic.

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“…As the name suggests, it is hidden or secret money, having no physical value [1]. It has evolved as a virtual medium of exchange platform which uses internet for transactions [2]. Since its inception, it has been fascinating for many investors, especially who are risk takers [3].…”

Section: Introductionmentioning

confidence: 99%

Determinants of Cryptocurrency: An Analysis of Volatility and Risk-Return Trade-Off

Gupta

2023

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As an investor, volatility plays an important role in decision making. It is defined as the rate at which a security’s price increases or decreases, i.e., shows pricing behavior during a definite span of time. A high volatility will lead to high risk. Thus, it becomes critical to determine the volatility and the risk-return trade-off among investments. This paper tries to document the volatility and risk-return trade-off of four prominent crypto-currencies (Bitcoin, Ethereum, Binance and Ripple), based on market-capitalization. For analysis, closing prices of cryptocurrencies has been accumulated through secondary method for 365 days, starting from 1st March 2022 and ending on 28th February 2023. Standard Deviation and Kurtosis, used together for volatility and risk assessment, documented that Bitcoin has the highest volatility and risk associated with expected returns. Regression, for assessing the impact of volatility in BTC price on others, derived that ETH has a strong, but not very strong, bivariate relationship with BTC, among all the pairs. Durbin Watson (DW) test concluded that there was no auto-correlation in the prices of crypto-currencies, i.e., previous day’s price does not play significant role in today’s price. For risk-return trade-off, Coefficient of Variation (CoV) has been applied. It determined that Ethereum has the highest ratio indicating its non-suitability to a conservative investor because of having the lowest returns as compared to risks involved; while Binance has the lowest Coefficient of Variation (CoV) depicting lower risk and maximum return among all.

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Critical Review: Current Research Issues on Crypto-currency and its Application in Financial Sectors

Cited by 2 publications

References 6 publications

Followness of Altcoins in the Dominance of Bitcoin: A Phase Analysis

Followness of Altcoins in the Dominance of Bitcoin: A Phase Analysis

Determinants of Cryptocurrency: An Analysis of Volatility and Risk-Return Trade-Off

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