1,808
Views
1
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

Modelling the dynamics of cryptocurrency prices for risk hedging: The case of Bitcoin, Ethereum, and Litecoin

ORCID Icon, , &
Article: 2196852 | Received 10 Oct 2022, Accepted 25 Mar 2023, Published online: 11 Apr 2023

References

  • Aalborg, H. A., Molnár, P., & de Vries, J. E. (2018). What can explain the price, volatility, and trading volume of Bitcoin? Finance Research Letters, Forthcoming. [CrossRef]. https://doi.org/10.2139/ssrn.3233977
  • Allison, I. (2015). If Banks want benefits of Blockchains, They must go permissionless. International Business Times. https://www.ibtimes.co.uk/nick-szabo-if-banks-want-benefits-blockchains-they-must-go-permissionless-1518874
  • Al-Yahyaee, K. H., Mensi, W., Al-Jarrah, W. I. M., Hamdi, W., & Kang, S. (2019). Volatility forecasting, downside risk and diversification benefits of bitcoin and oil and international commodity markets: A comparative analysis with yellow metal. The North American Journal of Economics and Finance, 49(1), 104–23. https://doi.org/10.1016/j.najef.2019.04.001
  • Antonopoulos, A. M. (2014). Mastering Bitcoin: Unlocking digital cryptocurrencies. O’Reilly Media, Inc.
  • Baur, D., Dimpfl, G., & Kuck, K. (2018). Bitcoin, gold, and the us dollar–a replication and extension. Finance Research Letters, 25, 103–110. https://doi.org/10.1016/j.frl.2017.10.012
  • Baur, D. G., & Hoang, L. (2021). The Bitcoin gold correlation puzzle. Journal of Behavioral and Experimental Finance, 32, 100561. https://doi.org/10.1016/j.jbef.2021.100561
  • Bhuiyan, R. A., Husain, A., & Zhang, C. (2021). A wavelet approach for causal relationship between bitcoin and conventional asset classes. Resources Policy, 71, 101971. https://doi.org/10.1016/j.resourpol.2020.101971
  • Bouoiyour, J., & Selmi, R. (2016). Bitcoin: A beginning of a new phase? Economics Bulletin, 36(3), 1430–1440. https://ideas.repec.org/a/ebl/ecbull/eb-16-00372.html
  • Bouri, E., Mahamitra, D., Gupta, R., & Roubaud, D. (2018). Spillovers between bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935–5949. https://doi.org/10.1080/00036846.2018.1488075
  • Browne, R. (2017). Bitcoin is not a bubble, but other cryptocurrencies are cannibalising themselves. CNBC.
  • Chai, D., Dai, M., Gharghori, P., & Hong, B. (2019). Internet search intensity and its relation with trading activity and stock returns. International Review of Finance, 21(1), 282–311. https://doi.org/10.1111/irfi.12268
  • Fasanya, I. O., Oyewole, O., & Odudu, T. (2021). Returns and volatility spillovers among cryptocurrency portfolios. International Journal of Managerial Finance. 17(2), 327–341. https://doi.org/10.1108/IJMF-02-2019-0074
  • Charlton, A. (2013). Litecoin value leaps 100% in a day as market cap passes $1bn. International Business Times. https://www.ibtimes.co.uk/litcoin-value-leaps-100-percent-market-cap-525867
  • Ciaian, P., Rajcaniova, M., & Kancs, D. (2016). The economics of bitcoin price formation. Applied Economics, 48(19), 1799–1815. https://doi.org/10.1080/00036846.2015.1109038
  • CNN Money. (2015). What is bitcoin?
  • Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182–199. https://doi.org/10.1016/j.irfa.2018.09.003
  • Davis, J. (2011). The crypto-currency: Bitcoin and its mysterious inventor. The New Yorker.
  • Dolado J J and Lütkepohl H. (1996). Making wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386. 10.1080/07474939608800362
  • Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. JSTOR 2325486. https://doi.org/10.2307/2325486
  • Fama, E. Efficient capital markets: Reply. (1976). The Journal of Finance, 31(1), 143–145. CrossRef. https://doi.org/10.1111/j.1540-6261.1976.tb03205.x
  • Fama, E. (2013). Two pillars of asset pricing. Prize Lecture for the Nobel Foundation.
  • Fox, J. (2001). When bubbles burst tulips. Money.cnn.com.
  • Garcia, D., Tessone, C. J., Mavrodiev, P., & Perony, N. The digital traces of bubbles: Feedback cycles between socio-economics signals in the Bitcoin economy. (2014). Journal of the Royal Society Interface, 11(99), 1–28. CrossRef] [PubMed. https://doi.org/10.1098/rsif.2014.0623
  • Ginsberg, J., Matthew, H. M., Patel, R. S., Brammer, L., Smolinski, M. S., & Brilliant, L. (2009). Detecting influenza epidemics using search engine query data. Nature, 457(7232), 1012–1014. https://doi.org/10.1038/nature07634
  • Greenberg, R. (2011). Bitcoin: An innovative alternative digital currency.
  • Hairudin, A., Sifat, M. I., Mohamad, A., & Yusof, Y. (2020). Cryptocurrencies: A survey on acceptance, governance, and market dynamics. International Journal of Finance & Economics, 27(4), 4633–4659. https://doi.org/10.1002/ijfe.2392
  • Harris, R. D. F., & Shen, J. (2017). The intrinsic value of gold: An exchange rate-free price index. Journal of International Money and Finance, 79, 203–217. https://doi.org/10.1016/j.jimonfin.2017.09.007
  • Herzog, B., & dos Santos, L. (2021). Google search in exchange rate models: Hype or hope? Journal of Risk and Financial Management, 14(11), 512. https://doi.org/10.3390/jrfm14110512
  • Hileman, G., & Rauchs, M. (2017). Global Cryptocurrency benchmarking study. Cambridge University.
  • Iansiti, M., & Lakhani, K. R. (2017). The truth about blockchain. Harvard Business Review. https://hbr.org/2017/01/the-truth-about-blockchain
  • Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3602780
  • Johansen, S. (1988). Statistical analysis of cointegrating vectors. Journal of Economic Dynamics & Control, 12(2–3), 231–254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3–6. https://doi.org/10.1016/j.econlet.2017.06.023
  • Katz, L. (2017). Cryptocurrency mania goes beyond bitcoin. Bloomberg. https://www.bloomberg.com/news/articles/2017-05-24/cryptocurrency-mania-goes-beyond-bitcoin-as-altcoins-lead-gains
  • Kaya, Y. (2018). Analysis of cryptocurrency market and drivers of the bitcoin price. Master of Science Thesis TRITA-ITM, KTH.
  • Kjaerland, F., Khazal, A., Krogstod, E. A., Nordstrom, F. B., & Oust, A. (2018). An analysis of bitcoin’s price dynamics. Journal of Risk and Financial Management, 11(63), 1–18. https://doi.org/10.3390/jrfm11040063
  • Kristoufek, L. Bitcoin meets google trends and Wikipedia: Quantifying the relationship between phenomena of the internet era. (2013). Scientific Reports, 3(1), 3415. [CrossRef] [PubMed]. https://doi.org/10.1038/srep03415
  • Kristoufek, L. (2015). What are the main drivers of the bitcoin price? Evidence from wavelet coherence analysis. PLoS One, 10(4), e0123923. https://doi.org/10.1371/journal.pone.0123923
  • Kruckeberg, S., & Scholz, P. (2020). Cryptocurrencies as an asset class. Cryptofinance and Mechanisms of Exchange, 1–28. https://doi.org/10.1007/978-3-030-30738-7_1
  • Kumah, S. P., & Odei-Mensah, J. (2022). Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based quantile-in-quantile approach. Cogent Economics and Finance, 10(1). https://doi.org/10.1080/23322039.2022.2082027
  • Kyriazis, N., Papadamou, S., & Corbet, S. (2020). A systematic review of the bubble dynamics of cryptocurrency prices. Research in International Business and Finance, 54, 101254. https://doi.org/10.1016/j.ribaf.2020.101254
  • Laboure, M., & Reid, J. (2020, January). Download Pdf. Www.dbresearch.com. https://www.dbresearch.com/PROD/RPS_EN_PROD/PROD0000000000504589/The_Future_of_Payments__Part_III__Digital_Currenc.pdf?undefined&realload=~3dDXaroXw8bxXN5kfwh2pkWvo0aWUOG4B08aFqIY1JeypAZL8QTM~8nycqNZ~R0
  • Li, X., & Wang, C. (n.d.). The technology and economic determinants of cryptocurrency exchange rate: The case of bitcoin. Decision Support Systems, 95, 49–60. https://doi.org/10.1016/j.dss.2016.12.001
  • Madichie, C. V., Eze, A. E., Orji, C. A., & Maduka, O. D. (2020). Estimation of import demand elasticities for Nigeria: Implications for the balance of payments adjustment policies. IOSR Journal of Economics and Finance, 11(4), 01–08.
  • Matteo, D. (2015). All you need to know about bitcoin. Times of Tndia-Economic Times. https://en.wikipedia.org/wiki/Cryptocurrency#cite_note-3
  • Mikhaylov, A. (2020). Cryptocurrency market analysis from the open innovation perspective. Journal of Open Innovation, Technology, Market, and Complexity, 6(4), 197. https://doi.org/10.3390/joitmc6040197
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Available online: http://bitcoin.org/bitcoin.pdf.
  • Narayanan, A., Bonneau, J., Felten, E., Miller, A., & Goldfeder, S. (2016). Bitcoin and cryptocurrency technologies: A comprehensive introduction. Princeton University Press. ISBN 978-0-691-17169-2.
  • Nasir, M., Huynh, T. L., Nyuyen, S. P., & Duong, D. (2019). Forecasting cryptocurrency returns and volume using search engines. Financial Innovation, 5(2). https://doi.org/10.1186/s40854-018-0119-8
  • Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519–1554. https://doi.org/10.1111/1468-0262.00256
  • Odell, M. (2015). A solution to bitcoin’s governance problem. Tech Crunch. https://techcrunch.com/2015/09/21/a-solution-to-bitcoins-governance-problem/
  • Ozturk, S. S. (2020). Dynamic connectedness between bitcoin, gold, and crude oil volatilities and returns. Journal of Risk and Financial Management, 13(11), 275. https://doi.org/10.3390/jrfm13110275
  • Palombizio, E., & Morris, I. (2012). Forecasting exchange rates using leading economic indicators. Open Access Scientific Reports, 1(8), 1–6. https://doi.org/10.4172/scientificreports
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
  • Polansek, T. (2016). CME, ICE prepare pricing data that could boost bitcoin. Reuters. https://www.reuters.com/article/us-cme-group-bitcoin-idUKKCN0XT1G1
  • Poyser, O. (2017). Exploring the determinants of bitcoin’s price: An application of bayesian structural time series. PhD Dissertation. Universitat Autònoma de Barcelona. https://www.researchgate.net/publication/317356728_Exploring_the_determinants_of_Bitcoin's_price_an_application_of_Bayesian_Structural_Time_Series
  • Raval, S. (2016). Decentralised applications: Harnessing bitcoin’s blockchain technology. O’Reilly Media, Inc. ( ISBN 978-1-4919-2452-5)
  • Sagona-Stophel, K. (2016). Bitcoin 101 white paper.
  • Santoni, G. J. (1987). The great bull markets 1924–29 and 1982–87: Speculative bubbles or economic fundamentals? Federal Reserve Bank of St Louis Review, 69, 16–29. CrossRef. https://doi.org/10.20955/r.69.16-30.bbg
  • Schwert, G. W. (2003). Anomalies and market efficiency. Handbook of the Economics of Finance. https://doi.org/10.1016/S1574-0102(03)01024-0
  • Shariati, K. (2022). The influence of gold market on bitcoin prices. Jonkoping International Business School – Jonkoping University.
  • Sifat, I. (2021). On cryptocurrencies as an independent asset class: Long-horizon and COVID-19 pandemic era decoupling from global sentiments. Finance Research Letters, 43, 102013. https://doi.org/10.1016/j.frl.2021.102013
  • Sovbetov, Y. (2018). Factors influencing cryptocurrency prices: Evidence from bitcoin, ethereum, dash, bitcoin, and monero. Journal of Economics and Financial Analysis, 2(2), 1–27. https://doi.org/10.1991/jefa.v2i2.a16
  • Taker, D., Teker, S., & Ozyesil, M. (2020). Macroeconomic determinants of cryptocurrency volatility: Time series analysis. Journal of Business and Economic Policy, 7(1), 65–77. https://doi.org/10.30845/jbep.v7n1a8
  • Tapscott, D., & Tapscott, A. (2016). Blockchain revolution: How the technology behind Bitcoin is changing money, business, and the world (pp. 432). Portfolio.
  • Vidal-Tomás, D. (2022). All the frequencies matter in the Bitcoin market: An efficiency analysis. Applied Economics Letters, 29(3), 212–218. https://doi.org/10.1080/13504851.2020.1861196
  • Vidal-Tomás, D., Ibáñez, A. M., & Farinós, J. E. (2019). Weak efficiency of the cryptocurrency market: A market portfolio approach. Applied Economics Letters, 26(19), 1627–1633. https://doi.org/10.1080/13504851.2019.1591583
  • WIRED. (2017). Ex-googler gives the world a better bitcoin.
  • Yang, S. (2018). Want to keep up with bitcoin enthusiasts? learn the lingo. The Wall Street Journal. https://www.wsj.com/articles/want-to-keep-up-with-bitcoin-enthusiasts-learn-the-lingo-1517394601
  • Yu, M. A. (2020). Cryptocurrency market development: Hurst method. Finance: Theory and Practice, 24(3), 81–91. (In Russ.). https://doi.org/10.26794/2587-5671-2020-24-3-81-91
  • Zivot, E., & Andrew, D. W. K. (1992). Further evidence on the great crash, the oil price shock and the unit root hypothesis. Journal of Business and Economics Statistics, 10(3), 251–270. https://doi.org/10.1080/07350015.1992.10509904