Price discovery on Bitcoin exchanges

Brandvold, Morten; Molnár, Péter; Vagstad, Kristian; Valstad, Ole Christian Andreas

doi:10.1016/j.intfin.2015.02.010

Cited by 301 publications

(182 citation statements)

References 14 publications

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“…cryptographic security [28], consensus algorithms [23], economics [3], or focuses specific cryptocurrencies which are only a single purpose instantiation of a blockchain system [20].…”

Section: Related Literaturementioning

confidence: 99%

Pervasive Decentralisation of Digital Infrastructures: A Framework for Blockchain enabled System and Use Case Analysis

Glaser¹

2017

Proceedings of the Annual Hawaii International Conference on System Sciences

363

247

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“…cryptographic security [28], consensus algorithms [23], economics [3], or focuses specific cryptocurrencies which are only a single purpose instantiation of a blockchain system [20].…”

Section: Related Literaturementioning

confidence: 99%

Pervasive Decentralisation of Digital Infrastructures: A Framework for Blockchain enabled System and Use Case Analysis

Glaser¹

2017

Proceedings of the Annual Hawaii International Conference on System Sciences

363

247

View full text Add to dashboard Cite

show abstract

“…The data is compiled _________________________ from Bitstamp, the largest Bitcoin exchange (Brandvold et al, 2015), and covers a daily database denominated in US dollar. The latter represents the currency against which Bitcoin is the most traded.…”

Section: Datamentioning

confidence: 99%

“…2 Few studies have been conducted on the financial characteristics of Bitcoin. Brandvold et al (2015) and Bouoiyour et al (2016) focus on price discovery in the Bitcoin market. Interestingly, the latter authors reveal some lead-lag relationship between Bitcoin prices, transactions use, and investors' attractiveness.…”

Section: Introductionmentioning

confidence: 99%

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

2017

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The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in US dollar. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. The authors test if there is a difference in the return-volatility relation before and after the price crash of 2013 and show a significant inverse relation between past shocks and volatility before the crash and no significant relation after. This finding shows that, prior to the price crash of December 2013, positive shocks increased the conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is contrary to what one observes in equities. As leverage effect and volatility feedback do not adequately explain this reaction, the authors propose the safe-haven effect (Baur, Asymmetric volatility in the gold market, 2012). They highlight the benefits of adding Bitcoin to a US equity portfolio, especially in the pre-crash period. Robustness analyses show, among others, a negative relation between the US implied volatility index (VIX) and Bitcoin volatility. Those additional analyses further support the findings and provide useful information for economic actors who are interested in adding Bitcoin to their equity portfolios or are curious about the capabilities of Bitcoin as a financial asset. JEL G11 G15

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“…The data is compiled from Bitstamp, the largest Bitcoin exchange (Brandvold et al, 2015), and covers various currency denominations to account for any potential influence of changes in the value of currency on the asymmetric effect. We selected the currencies against which Bitcoin is the most traded.…”

Section: Datamentioning

confidence: 99%

“…Brandvold et al (2015) and Bouoiyour et al (2016) focus on price discovery in the Bitcoin market, while Eisl et al (2015) concentrate on the benefits of adding Bitcoin to an equity portfolio. Bitcoin is considered to be a speculative investment by Yermack (2013) and digital gold by Popper (2015).…”

Section: Introductionmentioning

confidence: 99%

On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013

2016

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price crash of 2013 and show a significant inverse relation between past shocks and volatility before the crash and no significant relation after. This finding shows that, prior to the price crash of December 2013, positive shocks increased the conditional volatility more than negative shocks. This inverted asymmetric reaction of Bitcoin to positive and negative shocks is contrary to what the authors observe in equities. As leverage effect and volatility feedback don't adequately explain this reaction, they propose the safe-haven effect (Baur, Asymmetric volatility in the gold market, 2012). The authors highlight the benefits of adding Bitcoin to a US equity portfolio, especially in the pre-crash period. Robustness analyses show, among others, a negative relation between the US implied volatility index (VIX) and Bitcoin volatility. Those additional analyses further support their findings and provide useful information for economic actors who are interested in adding Bitcoin to their equity portfolios or are curious about the capabilities of Bitcoin as a financial asset. JEL G11 G15

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Price discovery on Bitcoin exchanges

Cited by 301 publications

References 14 publications

Pervasive Decentralisation of Digital Infrastructures: A Framework for Blockchain enabled System and Use Case Analysis

Pervasive Decentralisation of Digital Infrastructures: A Framework for Blockchain enabled System and Use Case Analysis

On the return-volatility relationship in the Bitcoin market around the price crash of 2013

On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013

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