Price Fluctuations and the Use of Bitcoin: An Empirical Inquiry

Polasik, Michał; Piotrowska, Anna; Wisniewski, Tomasz Piotr; Kotkowski, Radosław; Lightfoot, Geoffrey

doi:10.1080/10864415.2016.1061413

Cited by 317 publications

(225 citation statements)

References 86 publications

(29 reference statements)

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“…Blau (2017) argues that Bitcoin is a currency rather than a speculative investment, whereas Yermack (2015) indicates that it does not fulfil the functions of money. Polasik, Piotrowska, Wisniewski, Kotkowski, and Lightfoot (2015) provide evidence that Bitcoin is a medium of exchange, even though its price volatility is extremely high as compared with U.S. equity indices (Baek & Elbeck, 2015). Polasik, Piotrowska, Wisniewski, Kotkowski, and Lightfoot (2015) provide evidence that Bitcoin is a medium of exchange, even though its price volatility is extremely high as compared with U.S. equity indices (Baek & Elbeck, 2015).…”

Section: Literature Reviewmentioning

confidence: 94%

“…For Baur et al (2015) and Selgin (2015), Bitcoin is a hybrid between commodities (precious metals) and sovereign currencies. Polasik, Piotrowska, Wisniewski, Kotkowski, and Lightfoot (2015) provide evidence that Bitcoin is a medium of exchange, even though its price volatility is extremely high as compared with U.S. equity indices (Baek & Elbeck, 2015). Cheung, Roca, and Su (2015) find that Bitcoin has mostly speculative value.…”

Section: Literature Reviewmentioning

confidence: 99%

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Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

et al. 2018

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Motivated by the emergence of Bitcoin as a speculative financial investment, the purpose of this paper is to examine the persistence in the level and volatility of Bitcoin price, accounting for the impact of structural breaks. Using parametric and semiparametric techniques, we find strong evidence in favour of a permanency of the shocks and lack of mean reversion in the level series. We also reveal evidence of structural changes in the dynamics of Bitcoin. After accounting for the structural breaks in the level series, evidence of mean reversion is uncovered in some cases. Further analyses show evidence of a long memory in the two measures of volatility (absolute and the squared returns), whereas some cases of short memory are revealed in the squared returns series in particular. Practical implications are discussed on the inefficiency in the Bitcoin market and its importance for Bitcoin users and investors.

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Section: Literature Reviewmentioning

confidence: 94%

Section: Literature Reviewmentioning

confidence: 99%

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

et al. 2018

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“…There is no consensus on the 'currency' status of the so-called cryptocurrencies. [Polasik et al, 2015] report an increasing number of businesses and organizations accepting payments in bitcoin, and [Kristoufek, 2015] highlights the usefulness of bitcoin as medium of exchange. However, cryptocurrency volatility raises doubt about their suitability as a store of value.…”

Section: Introductionmentioning

confidence: 99%

An analysis of cryptocurrencies conditional cross correlations

Aslanidis

Bariviera

Martínez-Ibañez

2019

Finance Research Letters

123

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This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric in order to construct efficient portfolios. We find that: (i) correlations among cryptocurrencies are positive, albeit varying across time; (ii) correlations with Monero are more stable across time; (iii) correlations between cryptocurrencies and traditional financial assets are negligible. * nektarios.aslanidis@urv.cat † aurelio.fernandez@urv.cat ‡ oscar.martinez@urv.cat

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“…Polasik et al . () examine the returns to Bitcoin and relate these returns to sentiment in newspaper reports and transaction volumes, and explores the adoption of Bitcoin by merchants. Garcia et al .…”

Section: What Purpose Do Crypto‐currencies Serve?mentioning

confidence: 99%

“…While caveating their results on the basis that past performance may not be indicative of future outcomes, they note that Bitcoin's high volatility is compensated for by high returns, and these returns exhibit low correlation with other asset returns, implying that portfolios may benefit from some exposure to Bitcoin. Polasik et al (2015) examine the returns to Bitcoin and relate these returns to sentiment in newspaper reports and transaction volumes, and explores the adoption of Bitcoin by merchants. Garcia et al (2014) similarly argue for the importance of an interplay between social media communication, Internet search trends and the price of Bitcoin.…”

Section: Empirical Properties Of Crypto-currenciesmentioning

confidence: 99%

Crypto‐currencies – An Introduction to Not‐so‐funny Moneys

Smith

Kumar²

2018

Journal of Economic Surveys

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We introduce the distributed ledger (blockchain) technology of crypto‐currencies. We examine the ‘monetary’ attributes of crypto‐currencies, and describe some of the reasons they have been adopted. The paper discusses the mechanics of Bitcoin – the original crypto‐currency – to illustrate the fundamental elements of decentralized crypto‐currencies. We then provide a high‐level summary of the implications of crypto‐currencies for consumers, financial systems, and for monetary and regulatory authorities. We argue that crypto‐currencies are unlikely to supplant traditional fiat currencies and we anticipate an enduring role for financial intermediaries in facilitating credit.

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Price Fluctuations and the Use of Bitcoin: An Empirical Inquiry

Cited by 317 publications

References 86 publications

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks

An analysis of cryptocurrencies conditional cross correlations

Crypto‐currencies – An Introduction to Not‐so‐funny Moneys

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