The correlation and volatility between bitcoin and the blockchain index

Qi, Tuotuo; Wang, Tianmei; Zhu, Jianming; Ren-pu, Bai

doi:10.1108/ijcs-11-2019-0036

Cited by 5 publications

(5 citation statements)

References 13 publications

(23 reference statements)

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“…Indeed, this result can be explained by the fact that the OGC and the X8X are closely related to the blockchain index because the Islamic cryptocurrencies have been created based on blockchain technology. Indeed, this result matches with the findings of Qi et al (2020), which find no significant correlation between bitcoin and the blockchain index.…”

Section: Dow Jones Islamic Marketsupporting

confidence: 90%

“…The blockchain index is made up of 50 of the most representative blockchain concept stocks, which reverses the general appearance and functioning of blockchain concept stocks and is used as a scale and standard for investors. Due to the close relationship between the blockchain and bitcoin, we expect that the bitcoin price fluctuations will affect the stock price of the blockchain index to some extent and inversely (Qi, 2020).…”

Section: Introductionmentioning

confidence: 99%

“…The authors conclude that most enterprises have relatively low input-output efficiency given inefficient technology or scale. Qi et al (2020) investigate the impact of blockchain index on the bitcoin. The findings reveal that there is no significant correlation between bitcoin and the blockchain index.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

Trichilli

Boujelbène

2022

IMEFM

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Purpose The purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of state (regime) dynamics. Design/methodology/approach The authors have used the Markov-switching model to identify bull and bear market regimes. Moreover, the dynamic conditional correlation, the Baba, Engle, Kraft and Kroner- generalized autoregressive conditional heteroskedasticity and the wavelet coherence models are applied to detect the presence of spillover and contagion effects. Findings The findings indicate various patterns of spillover between halal chain, Dow Jones Islamic Market World Index and Islamic gold-backed cryptocurrencies in high and low volatility regimes, especially during the COVID-19 pandemic. Indeed, the contagion dynamics depend on the bull or bear periods of markets. Practical implications These present empirical findings are important for current and potential traders in gold-backed cryptocurrencies in that they facilitate a better understanding of this new type of assets. Indeed, halal chain is a safe haven asset that should be combined with Islamic gold-backed cryptocurrencies for better performance in portfolio optimization and hedging, mainly during the COVID-19 period. Originality/value To the best of the authors’ knowledge, this paper is the first research on the impact of the halal chain on the Dow Jones Islamic Market World Index return, Islamic gold-backed cryptocurrencies returns in the bear and bull markets around the global crisis caused by the COVID-19 pandemic.

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Section: Dow Jones Islamic Marketsupporting

confidence: 90%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

Trichilli

Boujelbène

2022

IMEFM

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“…The primary demand for cryptocurrency right now is speculation, and its price is subject to wild swings (Qi et al 2020). Because Bitcoin is decentralised, it is impossible to keep tabs on it, which raises the investment risk (Lee et al 2018).…”

Section: Discussionmentioning

confidence: 99%

Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Bhatnagar

Taneja

Rupeika-Apoga

2023

JRFM

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The cryptocurrency market has enormous growth potential. In this study, the aim is to investigate how the news (shocks) affects cryptocurrency market volatility. This is significant because, while cryptocurrencies are gaining popularity among investors, the market’s extreme volatility discourages some prospective buyers, while also causing large losses for inexperienced investors. From 8 March 2019 to 30 November 2022, data from Bitcoin, Binance Coin, Ethereum, Dogecoin, and XRP were collected for the current study. The E-GARCH model was applied to the framed dataset to achieve the research aim. We discovered that the value of the size factor for all currencies was statistically significant, indicating that the news (shocks) significantly impacts volatility. Furthermore, volatility persistence in all cryptocurrencies is found to be very high and statistically significant. These study findings can help investors understand the impact of the news (shocks) on volatility in cryptocurrency returns.

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“…Asymmetric GARCH models have been noted to outperform others for all cryptocurrencies (Ngunyi et al, 2019). Moreover, Gyamerah (2019) and Franke et al (2019) observed that the TGARCH model outperforms the other models, while Qi et al (2020) found the EGARCH model to outperform others.…”

Section: Conditional Variance Equationmentioning

confidence: 93%

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

Kahraman,

Kök

2024

MAKU IIBFD

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This study examines the day-of-the-week (DoW) and month-of-the-year (MoY) effects in the cryptocurrency market, with a focus on Bitcoin (BTC) and Ethereum (ETH). Due to the absence of a specific closing time in the cryptocurrency market, the closing time of the daily data is taken as 23:59 UTC. Initially, an appropriate volatility model for the cryptocurrency market is established using the GARCH, EGARCH, and TGARCH models. The most appropriate model for BTC is ARMA(1,0)-EGARCH(1,1) and ARMA(1,0)-GARCH(1,1) for ETH. The results of the analysis indicate a leverage effect in the cryptocurrency market, where negative shocks cause a more significant increase in volatility than positive shocks. Based on this volatility structure, the DoW and MoY are analyzed. For BTC, returns on other days are lower compared to Mondays. However, for ETH, returns on Thursdays are lower than those on Mondays. In terms of volatility, both BTC and ETH show that the highest volatility occurs on Mondays. For the MoY effect, neither BTC nor ETH don’t exhibit a significant effect in the mean equation. Nevertheless, the variance equation indicates that January has higher volatility compared to other months, indicating the presence of a MoY effect in terms of volatility.

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The correlation and volatility between bitcoin and the blockchain index

Cited by 5 publications

References 13 publications

Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

Demystifying the Effect of the News (Shocks) on Crypto Market Volatility

Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market

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