The Cross-Section of Crypto-Currencies as Financial Assets 1 1Financial support from the Deutsche Forschungsgemeinschaft via CRC 649 “Economic Risk” and IRTG 1792 “High Dimensional Non Stationary Time Series,” Humboldt-Universität zu Berlin, is gratefully acknowledged.

Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, Teik Ming

doi:10.1016/b978-0-12-810441-5.00007-5

Cited by 34 publications

(11 citation statements)

References 5 publications

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“…The general idea of this distributed ledger technology is transferred to many other fields in finance. For a detailed introduction into the key concepts of cryptocurrencies and Bitcoin, we refer to Bariviera et al (2017), Chuen (2015), Dwyer (2015), Elendner et al (2018), and Härdle et al (2018). Cryptocurrencies, in particular Bitcoin, have been labeled the New Gold by some media, banks, and also data providers throughout the last years.…”

Section: Introductionmentioning

confidence: 99%

Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

Klein

Thu

Walther

2018

International Review of Financial Analysis

630

152

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Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and find differences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with flight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and find no evidence for stable hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reflect any distinctive properties of Gold other than asymmetric response in variance.

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Section: Introductionmentioning

confidence: 99%

Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

Klein

Thu

Walther

2018

International Review of Financial Analysis

630

152

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“…Bài viết xem xét hai mô hình nghiên cứu với mô hình 1 chỉ xét đến lãi suất Cục dữ trữ liên ban Mỹ -FED (chính sách tiền tệ Mỹ) trong khi đó mô hình 2 thì bao gồm luôn cả chính sách tiền tệ của Mỹ và Trung Quốc. Các nghiên cứu trước đây đã chỉ ra rằng nếu Bitcoin được xem như là tài sản tài chính thì nó sẽ chịu tác động bởi các nhân tố mà được cho là có mối liên hệ với các tài sản tài chính khác như trái phiếu và cổ phiếu 7,19,25,69 . Dựa vào kết quả phương pháp GARCH và EGARCH trong mô hình 1, biến trễ lãi suất FED có tác động âm ý nghĩa đến giá Bitcoin.…”

Section: Kết Quả Nghiên Cứu Và Thảo Luận Kết Quảunclassified

Does Bitcoin share the same characteristics as a financial asset? Empirical evidence through the monetary policy

Thư

Dương

2020

Sci. Tech. Dev. J. Econ. Law. Manag.

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The cryptocurrency market, especially Bitcoin, has been received much attention from investors in the market. They often pay attention to which factors determine Bitcoin prices in order to make an investment decision more correctly. Therefore, the research focuses on the determinants of Bitcoin prices in the market based on previous studies relevant to stocks. In addition, to control variables including stock prices, gold prices, and exchange rates, the study also emphasizes on the monetary policy of the two great countries considered to have a strong influence on the volatility of the cryptocurrency market, the US and China. Data in the research are collected from reliable sources (coinmarketcap.com for Bitcoin data and Euromonitor for data on interest rates of the monetary policy). The study collects daily data for Bitcoin prices and monthly data for macroeconomic variables in the period of 2010 – 2018. With regard to the time series data, the research applies two econometric methods, GARCH and EGARCH, to evaluate the difference between positive and negative shocks of the monetary policy towards Bitcoin prices. The results indicate that interest rates of the Chinese and American monetary policy have a converse relationship with Bitcoin prices. Besides, control variables show a statistically significant association with Bitcoin prices. In conclusion, the research suggests that Bitcoin has the characteristics of a financial asset based on its similarities over determinants between stocks and Bitcoin.

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“…Chuen et al (2018) examined the dynamic co-movement between markets and a crypto index (CRIX), and found low correlation of the crypto index with commodities like gold. While Elendner et al (2016) analyzed the top ten cryptos based on their market values and found them to be weakly correlated, Trimborn and Härdle (2016) found the CRIX to be more representative of the market than Bitcoin (BTC). While some these studies attempt to explore the crypto and external world in areas like news announcements, stock markets, energy futures markets, and crypto currency prices, they lacked in some key areas respectfully.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Although Gurrib (2018a) proposed an energy index based on leading fossil fuels to predict stock market movements, the author did not benchmark the model against individual commodity prices such as crude oil or natural gas. Studies like Elendner et al (2016) and Trimborn and Härdle (2016) either looked only at the top ten cryptos or whole market index, such that generalization for key sectors like energy within the crypto markets are not made. While Chen (2018) found the CRIX, in an efficient frontier setup, to yield the highest return and risk, compared to oil which had the lowest return with a proportionally high risk level, the study did not benchmark the use of individual crypto currencies as opposed to the CRIX index in their portfolio analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

Can energy commodities affect energy blockchain-based cryptos?

Gurrib

2019

SEF

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Purpose The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets.

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The Cross-Section of Crypto-Currencies as Financial Assets 1 1Financial support from the Deutsche Forschungsgemeinschaft via CRC 649 “Economic Risk” and IRTG 1792 “High Dimensional Non Stationary Time Series,” Humboldt-Universität zu Berlin, is gratefully acknowledged.

Cited by 34 publications

References 5 publications

Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance

Does Bitcoin share the same characteristics as a financial asset? Empirical evidence through the monetary policy

Can energy commodities affect energy blockchain-based cryptos?

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