Inter-Markets Volatility Spillover in U.S. Bitcoin and Financial Markets

Qarni, Muhammad Owais; Gulzar, Shazia; Fatima, Syeda Tamkeen; Khan, Majid Jamal; Shafi, Khuram

doi:10.3846/jbem.2019.8316

Cited by 29 publications

(22 citation statements)

References 37 publications

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“…They seem to be consistent with previous research (Gajardo et al, 2018). In summary, the results of a wide range of wavelet frameworks indicate relatively weak interrelatedness between Bitcoin and all the asset classes under investigation, this lends support to the previous works (Bouoiyour and Selmi, 2015;Kang et al, 2019a;Qarni et al, 2019;Vardar and Aydogan, 2019). These empirical findings contrast with those that confirm that the Bitcoin market is isolated totally from the rest of the financial system (Ji et al, 2018;Ciaian et al, 2016;Bouri et al, 2018a).…”

Section: Bitcoin and Other Asset Classessupporting

confidence: 90%

“…Several studies have been conducted in different contexts in the world. Qarni et al (2019) analyze the volatility spillover dynamics between Bitcoin and financial markets (US 10 years notes futures, USD index futures, Thomson Reuters Core Commodity CRB excess return, and S&P 500 index) between 2010 and 2017 using spillover index approach. Their findings report the presence of a low level of integration and contagion between Bitcoin and financial markets.…”

Section: Literature Reviewmentioning

confidence: 99%

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Co-movements between Bitcoin and other asset classes in India

Hung

2021

JIBR

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Purpose This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India Design/methodology/approach This paper aims to cast light on the dynamic linkages between Bitcoin prices and other conventional asset classes in India by using the wavelet transform frameworks, which can allow us to analyze components of time series without losing the information. To do that, the techniques used with the data set include wavelet-based covariance, correlation, coherence spectrum, continuous power spectrum and Granger causality test. Findings The findings of the study suggest that interrelationships between Bitcoin and the key financial asset returns are statistically significant at low, medium and high frequencies. This study also finds the existence of the unidirectional connectedness between Bitcoin the other assets in India. Practical implications The outcome of the analysis calls for substantial policy implications for investors, portfolio management in India. This research on the existence of the interconnectedness between Bitcoin and other conventional asset classes in a specific country context, India can, therefore, make a significant contribution to the contemporary debate about the speculative nature of the cryptocurrencies. It casts light on whether Bitcoin provides any diversification and risk management benefits for Indian, as well as global investors. Originality/value To the best of the author’s knowledge, this is the first paper investigating the interrelatedness between Bitcoin and key conventional asset classes in India. This research makes methodological advancements by using the wavelet coherence transform. The findings provide empirical bases from which to deal with issues regarding hedging purposes and optimal portfolio allocation for an increasing number of investors in the Indian context. Therefore, the main contribution of this study to related literature in this field is significant.

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Section: Bitcoin and Other Asset Classessupporting

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

Co-movements between Bitcoin and other asset classes in India

Hung

2021

JIBR

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“…Findings by Corbet et al (2018), Alfieri (2019) demonstrate potential diversification effects of cryptocurrencies in relationship with other financial assets. Identical results in the work of Guesmi et al (2018), Bouri et al (2018a) and Qarni et al (2019) discover the return and volatility spillover effects of Bitcoin to financial markets using different statistical models. Research by Katsiampa et al (2019) and Kumar and Anandarao (2019) provide significant evidence that spillover effects occur even among cryptocurrencies themselves.…”

Section: Optimization Of Special Cryptocurrency Portfoliomentioning

confidence: 67%

Optimization of special cryptocurrency portfolios

Schellinger

2020

JRF

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Purpose This paper aims to elaborate on the optimization of two particular cryptocurrency portfolios in a mean-variance framework. In general, cryptocurrencies can be classified to as coins and tokens where the first can be thought of as a medium of exchange and the latter accounts for security or utility tokens depending upon its design. Design/methodology/approach Against this backdrop, this empirical study distinguishes, in particular, between pure coin and token portfolios. Both portfolios are optimized by maximizing the Sharpe ratio and, subsequently, compared with alternative portfolio strategies. Findings The empirical findings demonstrate that the maximum utility portfolio of coins, with a risk aversion of λ = 10, outweighs alternative frameworks. The portfolios optimized by maximizing the Sharpe ratio for both coins and tokens indicate a rather poor performance. Testing the maximized utility for different levels of risk aversion confirms the findings of this empirical study and confers them more robustness. Research limitations/implications Further investigation is strongly recommended as tokens represent a new phenomenon in the cryptocurrency universe, for which only a limited amount of data are available, which restricts the sampling. Furthermore, future study is to include more sophisticated optimization models using different constraints in portfolio creation. Practical implications In light of the persistently substantial volatility in cryptocurrency markets, the empirical findings assert that portfolio managers are advised to construct a global minimum variance portfolio. In the absence of sophisticated optimization models, private investors can invest according to the market values of cryptocurrencies. Despite minor differences in the risk and reward ratios of the portfolios tested, tokens tend to be more speculative, especially, if the Tether token is excluded, which may require enhanced supervision and investor protection by regulating authorities. Originality/value As the current literature investigates on diversification effects of blended cryptocurrency portfolios rather than making an explicit distinction, this paper reflects one of the first to explore the investability and role of diversifying coins and tokens using a classic Markowitz approach.

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“…Blockchain is now seen mostly as the technology enabling cryptocurrencies (Beck et al , 2017). The rapid growth of cryptocurrency market and its dramatic price changes are catching wide attention from all around the globe and thus have emerged as an attractive field of study (Dyhrberg et al , 2018; Qarni et al , 2019). Practitioners report that there have existed more than 2,000 cryptocurrencies (Arias-Oliva et al , 2019), whose market grew from 1.5 billion US dollars in 2013 to over 795 billion US dollars in 2018 (Xie, 2019).…”

Section: Introductionmentioning

confidence: 99%

Investigating the repurchase intention of Bitcoin: empirical evidence from China

Nadeem

Liu

Pitafi

et al. 2020

DTA

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PurposeCryptocurrencies, such as Bitcoin, generate innovative and fast exchanges without any physical form and facilitate online payments; thus, they may bring about revolutions of the future economic system. Recent investigations reveal that China, the second largest Bitcoin market, accounts for a huge volume of Bitcoin trading and mining, which can cast distinct influences on future values of Bitcoin. Therefore, it would be of great significance to probe into the repurchase intention of Bitcoin of the Chinese individuals.Design/methodology/approachOne hundred and forty-three questionnaires were collected from Chinese respondents. SPPS was employed for data analysis of the proposed hypotheses.FindingsThe results show that expectation has a positive impact on perceived enjoyment and perceived ease of use. A positive relationship between perceived ease of use and perceived enjoyment was confirmed. The findings also reveal that expectation, perceived enjoyment and perceived ease of use have significant impact on satisfaction. Moreover, it is found that perceived enjoyment, perceived ease of use and satisfaction significantly influence the repurchase intention of Bitcoin.Research limitations/implicationsThis study encourages future comparative studies to be conducted. Besides, it is recommended to find out other possible antecedents of repurchase intention. Moreover, this study suggested negative effects of Bitcoin to be explored.Practical implicationsIn a practical standpoint, this study provides valuable suggestions about cryptocurrencies use and regularization. For instance, education and learnability issues of novice users need to be considered. Further, the regularization/implementation of cryptocurrencies/blockchain technologies is also suggested.Originality/valueThis is the pioneer endeavor which investigates the repurchase intention of Bitcoin. The findings explore some of the possible antecedents which influence repurchase intention of Bitcoin. These findings provide valuable insights and enrich the existing body of literature in the domain of Bitcoin.

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Inter-Markets Volatility Spillover in U.S. Bitcoin and Financial Markets

Cited by 29 publications

References 37 publications

Co-movements between Bitcoin and other asset classes in India

Co-movements between Bitcoin and other asset classes in India

Optimization of special cryptocurrency portfolios

Investigating the repurchase intention of Bitcoin: empirical evidence from China

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