Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Dutta, Anupam; Bouri, Elie

doi:10.3390/jrfm15030128

Cited by 21 publications

(11 citation statements)

References 33 publications

(42 reference statements)

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“…This is important, as both markets have been highly subject to turbulent and extreme events and co-jumping behaviors (e.g. Dutta and Bouri [ 25 ] indicate the presence of time-varying jumps in the cryptocurrency markets, whereas Xu et al [ 26 ] show evidence of co-jumps between the cryptocurrency and the US technology sector. ), which makes the analysis of second moment of returns suboptimal under the non-normality of the returns [ 2 ].…”

Section: Introductionmentioning

confidence: 99%

Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain

2022

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Interactions between stock and cryptocurrency markets have experienced shifts and changes in their dynamics. In this paper, we study the connection between S&P500 and Bitcoin in higher-order moments, specifically up to the fourth conditional moment, utilizing the time-scale perspective of the wavelet coherence analysis. Using data from 19 August 2011 to 14 January 2022, the results show that the co-movement between Bitcoin and S&P500 is moment-dependent and varies across time and frequency. There is very weak or even non-existent connection between the two markets before 2018. Starting 2018, but mostly 2019 onwards, the interconnections emerge. The co-movements between the volatility of Bitcoin and S&P500 intensified around the COVID-19 outbreak, especially at mid-term scales. For skewness and kurtosis, the co-movement is stronger and more significant at mid- and long-term scales. A partial-wavelet coherence analysis underlines the intermediating role of economic policy uncertainty (EPU) in provoking the Bitcoin-S&P500 nexus. These results reflect the co-movement between US stock and Bitcoin markets beyond the second moment of return distribution and across time scales, suggesting the relevance and importance of considering fat tails and return asymmetry when jointly considering US equity-Bitcoin trading or investments and the policy formulation for the sake of US market stability.

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Section: Introductionmentioning

confidence: 99%

Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain

2022

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“…This index has also been utilized in prior works (Jalal et al. , 2020; Dutta and Bouri, 2022; Vidal-Tomás, 2022). The results exhibited that the CCI30 index performed negatively significant to GB under a bearish condition, implying it as a SHA (see Table 8) which is in line with the UCRY price results, but contrary with Lavelle et al.…”

Section: Resultsmentioning

confidence: 99%

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Widjaja

Gaby

Havidz

2023

EJMBE

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PurposeThis study aims to identify the ability of gold and cryptocurrency (Cryptocurrency Uncertainty Index (UCRY) Price) as safe haven assets (SHA) for stocks and bonds in both conventional (i.e. stock indices and government bonds) and Islamic markets (i.e. Islamic stock indices and Islamic bonds (IB)).Design/methodology/approachThe authors employed the nonadditive panel quantile regression model by Powell (2016). It measured the safe haven characteristics of gold and UCRY Price for stock indices, government bonds, Islamic stocks, and IB under gold circumstances and level of cryptocurrency uncertainty, respectively. The period spanned from 11 March 2020 to 31 December 2021.FindingsThis study discovered three findings, including: (1) gold is a strong safe haven for stocks and bonds in conventional and Islamic markets under bearish conditions; (2) UCRY Price is a strong safe haven for conventional stocks and bonds but only a weak safe haven for Islamic stocks under high crypto uncertainty; and (3) gold offers a safe haven in both emerging and developed countries, while UCRY Price provides a better safe haven in developed than in emerging countries.Practical implicationsGold always wins big for safe haven properties during unstable economy. It can also win over investors who consider shariah compliant products. Therefore, it should be included in an investor's portfolio. Meanwhile, cryptocurrencies are more common for developed countries. Thus, the governments and regulators of emerging countries need to provide more guidance around cryptocurrency so that the societies have better literacy. On top of that, the investors can consider crypto to mitigate risks but with limited safe haven functions.Originality/valueThe originality aspects of this study include: (1) four chosen assets from conventional and Islamic markets altogether (i.e. stock indices, government bonds, Islamic stock indices and IB); (2) indicator countries selected based on the most used and owned cryptocurrencies for the SHA study; and (3) the utilization of UCRY Price as a crypto indicator and a further examination of the SHA study toward four financial assets.

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“…However, it was not until the launch of Bitcoin in 2009 [Nak08] that cryptocurrency gained mainstream attention. Since then, numerous cryptocurrencies have been developed, each with its own unique features and use cases [DB22]. From a technical perspective, cryptocurrency relies on blockchain technology to create a decentralized and secure system for digital transactions.…”

Section: Literature Reviewmentioning

confidence: 99%

Automatic Increase Market Systems (AIMS): Towards a deterministic theory for cryptocurrencies

Newby¹,

Nishikawa²

2023

Preprint

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<p>The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The value of cryptocurrencies can change rapidly and dramatically, making them a risky investment. Cryptocurrencies are largely unregulated, which can exacerbate their volatility. The high volatility of cryptocurrencies has also led to a speculative bubble, with many investors buying and selling cryptocurrencies based on short-term price fluctuations rather than their underlying values. Therefore, how to reduce the fluctuation risk introduced by exchanges, transform uncertain prices to deterministic value, and promote the benefits of decentralized finance are critical for the future development of cryptos and Web 3.0. </p> <p>To address the issues, this paper proposes a novel theory as Automatic Increase Market Systems (AIMS) for cryptos, which could potentially be designed to automatically adjust the value of a cryptocurrency helping to stabilize the price and increase its value over time in a deterministic manner. We build a crypto, WISH (https://wishbank.wtf), based on AIMS in order to demonstrate how the automatic increase market system would work in practice, and how it would influence the supply of the cryptocurrency in response to market demand and finally make itself to be a stable medium of exchange, ensuring that the AIMS is fair and transparent.</p>

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Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Cited by 21 publications

References 33 publications

Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain

Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain

Are gold and cryptocurrency a safe haven for stocks and bonds? Conventional vs Islamic markets during the COVID-19 pandemic

Automatic Increase Market Systems (AIMS): Towards a deterministic theory for cryptocurrencies

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