Does Bitcoin still own the dominant power? An intraday analysis

The Role of Binance in Bitcoin Volatility Transmission

“…Contrary to the existing literature, we base our analysis on ultrahigh-frequency data, using second-by-second observations to compute realised volatility at the fiveminute frequency which, due to microstructure noise, is the highest frequency which allows a reliable transmission analysis. All other studies on volatility spillovers between different cryptocurrencies (Yi et al, 2018;Katsiampa et al, 2019;Wang and Ngene, 2020;Caporale et al, 2021;Sensoy et al, 2021) or between individual crypto-exchanges (Ji et al, 2021) rely on daily observations, and/or they focus exclusively on the much smaller spot market, which could lead to erroneous conclusions. By analysing realised volatility on major spot and derivatives exchanges at the 5-minute frequency we study more afterwards a U.S. senator Don Beyer presented congress with a 58-page draft of the Digital Asset Market Structure and Investor Protection Act, proposing sweeping reforms and clarifying the responsibilities of the Federal Reserve, the SEC and the CFTC.…”

Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach

“…This study attempted to explore the diversification potential of Bitcoin, as it still possessed a dominant power in the cryptocurrency market despite the exponential rise of cryptocurrencies in recent times. As reported by Wang and Ngene (2020), despite the phenomenal prominence of altcoins in recent times, Bitcoin still exhibited a leading and dominant role in price discovery and volatility transmission throughout the cryptocurrency market and therefore, studying the dynamics and interaction of Bitcoin with other asset classes became imperative to portfolio diversification, hedging, and understanding the origins and drivers of price and volatility in the cryptocurrency market. Moreover, as of May 2021, Bitcoin market capitalization was close to US $700 billion, which was almost 45% of the total cryptocurrency ecosystem with more than 10,000 cryptocurrencies trading on around 380 exchanges.…”

“…With regard to liquidity and investability, only a few academics have explored cryptocurrencies' liquidity and investability (Wątorek et al 2021;Dyhrberg et al 2018;Karalevicius et al 2018;Wei 2018). Boiko et al (2021) and Wang and Ngene (2020) argued that while the inclusion of different cryptocurrencies in a diversified portfolio under different portfolio optimization strategies could lead to substantial enhancements in portfolio performance, Bitcoin was still a dominant force in the cryptocurrency portfolio. Ma et al (2020), on the other hand, argued that the addition of multiple cryptocurrencies could lead to better portfolio performance; however, Ethereum offered better diversification potential than Bitcoin.…”

“…This study is one of the very few studies exploring the diversification potential of Bitcoin using a portfolio optimization approach. Earlier studies using a portfolio optimization approach can be classified into four categories: The first category includes studies that focus on portfolio optimization in general, Bitcoin not being a component of such frameworks (Ehrgott et al 2004;Krokhmal et al 2002;Cai et al 2000;DeMiguel et al 2009;Gaivoronski and Pflug 2005); the second category of studies have either focused on the US markets (Brière et al 2015;Carrick 2016;Wu and Pandey 2014) or local markets (Aggarwal et al 2018;Gangwal 2017;Kajtazi and Moro 2017); another strand of literature has generally addressed cryptocurrencies and digital currencies (Boiko et al 2021;Colombo et al 2021;Wang and Ngene 2020;Ma et al 2020), and the fourth category of studies have evaluated the diversification potential of Bitcoin with limited indices, assets, or variables (Platanakis and Urquhart 2020;Garcia-Jorcano and Benito 2020;Pal and Mitra 2019;Eisl et al 2015). The current study contributes to the existing literature by using a wide range of variables with the most recent data, thus bringing in new evidence regarding the potential for Bitcoin in portfolio diversification using a portfolio optimization approach.…”

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

“…However, it does not clear the reason for increasing the price of Bitcoin and the price relationship between Bitcoin and Altcoins. The increasing popularity of Bitcoin gained not only the attention of Media and Investors but also researchers on the area of Price formation [6,15] , portfolio implications [10], [16] , blockchain technology [17,18] Market efficiency [19] , Asymmetric relationship with Altcoins [7] legal issues [20] and risk-return analysis [21] . According to Crypto & Market survey, Bitcoin demonstrated bubble-like features, and if correlation remained zero with the return of other assets, then there is a significant fall in the value of bitcoin [11] .…”