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Hio Loi (2018): The Liquidity of Bitcoin This paper studies the liquidity of Bitcoin using the time series daily data over the period 1/1/2014 to 12/31/2015. Based on the available data for Bitcoin, five liquidity measures are chosen to compare the liquidities among five Bitcoin exchanges and the liquidities of different sizes of stocks. The results suggest that the liquidity of Bitcoin depends on the choice of the Bitcoin exchanges, and Bitfinex, one of the Bitcoin exchanges, provides the highest liquidity for Bitcoin trading. Moreover, the results indicate that, on average, stocks are more liquid than Bitcoin.

RePEc:ibn:ijefaa:v:10:y:2018:i:1:p:13-22 Save to MyIDEAS Élise Alfieri & Radu Burlacu & Geoffroy Enjolras (2017): On the nature and the financial performance of Bitcoin Purpose - The purpose of this article is to provide some insights on the true nature of bitcoin and to study empirically its performance by using robust models, widely used in the academic literature. ... Such measures are insufficient because they do not take into account the bitcoin’s specificities, such as the possibilities to diversify risk. ... The authors use regression analysis and measure bitcoin’s performance as the constant term ( Findings - Bitcoin has low correlation with the market index and with factor-mimicking portfolios, which indicates opportunities to diversify risk. The performance of bitcoin ( Research limitations/implications - The true nature of bitcoin is subject of debate and needs further research. Furthermore, other factors should be considered in analysing the bitcoin’s performance, such as those related to investors’ behaviour or political risk.

RePEc:hal:journl:hal-01960475 Save to MyIDEAS Rebecca Abraham (2020): The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives Bitcoin is the currency of the blockchain, which promises cost reductions for businesses. This paper develops models to value bitcoin, bitcoin futures, and bitcoin options. It provides the theoretical basis for bitcoin pricing. Optimal bitcoin prices are derived at the intersection of an aberrancy utility function, a hyperbolic cosine utility function, and a Bessel utility function with price distributions. Rational investors value bitcoin on the basis of blockchain applications, while irrational investors' value bitcoin based on personal recommendations.

RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:203-223 Save to MyIDEAS Podhorsky, Andrea (2019): Bursting the Bitcoin Bubble: Assessing the Fundamental Value and Social Costs of Bitcoin This paper develops a microeconomic model of bitcoin production to analyze the economic effects of the Bitcoin protocol. I view the bitcoin as a tradable commodity that is produced by miners and whose supply is managed by the protocol. The findings show that bitcoin’s volatile price path and inefficiency are related, and that both are a consequence of the protocol’s system of supply management. I characterize the fundamental value of a bitcoin and demonstrate that the return on bitcoin appreciates proportionally to the rate of increase in the level of difficulty. ... The generalized supremum augmented Dickey-Fuller (GSADF) test is used to demonstrate that the model is able to account for the explosive behavior in the bitcoin price path, providing strong evidence that bitcoin is not a bubble.

RePEc:ris:adbiwp:0934 Save to MyIDEAS Jaroslav Bukovina & Matus Marticek (2016): Sentiment and Bitcoin Volatility This paper augments the current research suggesting the less rational factors like attractiveness of Bitcoin and speculative investments to be influential for excessive volatility. In particular, it examines the sentiment as a driver of Bitcoin volatility. The paper contributes with economic rationale about a link between sentiment and Bitcoin. Further, the authors propose a unique decomposition of Bitcoin price to rational and less rational components. ... Moreover, the findings show that positive sentiment is more influential for Bitcoin excessive volatility.

RePEc:men:wpaper:58_2016 Save to MyIDEAS Kim, Wonse & Lee, Junseok & Kang, Kyungwon (2020): The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from five cryptocurrency exchanges, we first examine the change in realized volatility after the introduction of Bitcoin futures to investigate their aggregate effects on the intraday volatility of Bitcoin. ... We show that although the Bitcoin market became more volatile immediately after the introduction of Bitcoin futures, over time it has become more stable than it was before the introduction.

RePEc:eee:finlet:v:33:y:2020:i:c:s154461231830713x Save to MyIDEAS Liu, Ruozhou & Wan, Shanfeng & Zhang, Zili & Zhao, Xuejun (2020): Is the introduction of futures responsible for the crash of Bitcoin? The price of Bitcoin reached its peak a mere few days after the introduction of Bitcoin futures and suffered an 80% loss in the following year. In this paper, we find a significant and negative relationship between the introduction of Bitcoin futures and Bitcoin returns, and an insignificant or positive relationship for other 7 major non-Bitcoin cryptocurrencies. Within the first 45 days after the futures launch, Bitcoin suffered a –26.50% loss, while other cryptocurrencies could still provide positive returns. We presume that the launch of Bitcoin futures was to an extent responsible for the crash of Bitcoin.

RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302211 Save to MyIDEAS Dominique Guegan (2017): Bitcoin and the challenge for regulation In a relatively short period of time, virtual currencies ("VC") have gained significant traction and become an economic reality, with Bitcoin being the most dominant among over 500 virtual currencies. Their advent, beginning with Bitcoin in 2008, has quickly exploded into an emerging financial ecosystem that offers new possibilities for peer-to-peer payment systems, money transmission and investment opportunities not only for purchasers and sellers of virtual currencies, but also for investors in virtual currency business activity, and perhaps more significantly, for consumers.

RePEc:hal:journl:halshs-01897056 Save to MyIDEAS Dominique Guegan (2017): Bitcoin and the challenge for regulation In a relatively short period of time, virtual currencies ("VC") have gained significant traction and become an economic reality, with Bitcoin being the most dominant among over 500 virtual currencies. Their advent, beginning with Bitcoin in 2008, has quickly exploded into an emerging financial ecosystem that offers new possibilities for peer-to-peer payment systems, money transmission and investment opportunities not only for purchasers and sellers of virtual currencies, but also for investors in virtual currency business activity, and perhaps more significantly, for consumers.

RePEc:hal:cesptp:halshs-01897056 Save to MyIDEAS Cheah, Eng-Tuck & Fry, John (2015): Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles. Further, we find empirical evidence that the fundamental price of Bitcoin is zero.

RePEc:eee:ecolet:v:130:y:2015:i:c:p:32-36 Save to MyIDEAS

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