Search Results

Price delay and market frictions in cryptocurrency markets,
Gerrit Köchling, Janis Müller and Peter Posch, in Economics Letters (2019)
Keywords: Cryptocurrency; Price delay; Market efficiency;

The rise and fall of cryptocurrency coins and tokens,
Neil Gandal, J. T. Hamrick, Tyler Moore and Marie Vasek, in Decisions in Economics and Finance (2021)
Keywords: Cryptocurrency, Bitcoin, Cryptocurrency markets

Long and short-term impacts of regulation in the cryptocurrency market,
Ahmad Chokor and Élise Alfieri, from HAL (2021)
Keywords: Regulation Cryptocurrency risk Cryptocurrency return Market liquidity Market efficiency

Long and short-term impacts of regulation in the cryptocurrency market,
Ahmad Chokor and Elise Alfieri, in The Quarterly Review of Economics and Finance (2021)
Keywords: Regulation; Cryptocurrency risk; Cryptocurrency return; Market liquidity; Market efficiency;

The Spill-Over Effects of Cryptocurrencies on Equity and Bonds Market,
Tshembhani M. Hlongwane, in Journal of Economics and Financial Analysis (2023)
Keywords: GARCH Model; Cryptocurrencies; Financial Markets.

Herding in the cryptocurrency market: CSSD and CSAD approaches,
David Vidal-Tomás, Ana M. Ibáñez and José E. Farinós, in Finance Research Letters (2019)
Keywords: Herding; Market efficiency; Cryptocurrency; Bitcoin;

Ramadan effect in the cryptocurrency markets,
Carmen Lopez-Martin, in Review of Behavioral Finance (2022)
Keywords: Behavioural finance, Market efficiency, Calendar anomalies, Cryptocurrencies, Ramadan effect

On the topology of cryptocurrency markets,
Simon Rudkin, Wanling Rudkin and Paweł Dłotko, in International Review of Financial Analysis (2023)
Keywords: Topological data analysis; Persistence norms; Cryptocurrency returns; Volatility; Market efficiency;

Cryptocurrencies and stock market fluctuations,
Bashige Musholombo, in Economics Letters (2023)
Keywords: Cryptocurrencies; Stock market; Local projection; Granular instrumental variables;

Is There Any Witching in the Cryptocurrency Market?,
Alex Plastun, Ludmila Khomutenko and Serhii Bashlai, in JRFM (2022)
Keywords: expiration day; witching day; abnormal returns; cryptocurrency market

Herding Behaviour in the Cryptocurrency Market,
Elie Bouri, Rangan Gupta and David Roubaud, from University of Pretoria, Department of Economics (2018)
Keywords: Bitcoin, cryptocurrency market, herding behavior, economic policy uncertainty

Psychological barriers in the cryptocurrency market,
Vítor Fonseca, Luis Pacheco and Júlio Lobão, in Review of Behavioral Finance (2019)
Keywords: Market efficiency, Bitcoin, Psychological barriers, Cryptocurrencies, G14, G15, G41

Determinants of liquidity in cryptocurrency markets,
J. Christopher Westland, in Digital Finance (2023)
Keywords: Liquidity, Two-sided markets, Cryptocurrency, Blockchain, Bitcoin, Glosten-alpha

The adaptive market hypothesis and the return predictability in the cryptocurrency markets,
Karasiński Jacek, in Economics and Business Review (2023)
Keywords: cryptocurrency markets, adaptive market hypothesis, efficient market hypothesis, cryptocurrency return predictability, weak-form efficiency of cryptocurrency markets, martingale difference hypothesis

Order flow analysis of cryptocurrency markets,
Eduard Silantyev, in Digital Finance (2019)
Keywords: Market microstructure, Cryptocurrency, Electronic trading, Market impact, Order flow

Optimal trade execution in cryptocurrency markets,
Nils Bundi, Ching-Lin Wei and Khaldoun Khashanah, in Digital Finance (2024)
Keywords: Cryptocurrencies, Market microstructure, Limit order book, Maker taker market

Diversification, integration and cryptocurrency market,
Sofia Anyfantaki, Stelios Arvanitis and Nikolas Topaloglou, from Bank of Greece (2018)
Keywords: cryptocurrencies; portfolio choice; second order stochastic dominance; stochastic spanning; diversification; market integration; market segmentation

Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective,
Yonghong Jiang, Jiayi Lie, Jieru Wang and Jinqi Mu, in Economic Modelling (2021)
Keywords: Cryptocurrencies; Stock markets; Quantile coherency;

Volatility spillovers among G7, E7 stock markets and cryptocurrencies,
Berna Aydoğan, Gülin Vardar and Caner Taçoğlu, in Journal of Economic and Administrative Sciences (2022)
Keywords: Stock markets, Cryptocurrencies, Volatility spillovers

The great crypto crash in September 2018: why did the cryptocurrency market collapse?,
Viktor Manahov, in Annals of Operations Research (2024)
Keywords: Cryptocurrency, Herding behaviour, Market efficiency

The anatomy of a fee change — evidence from cryptocurrency markets,
Alexander Brauneis, Roland Mestel, Ryan Riordan and Erik Theissen, in Journal of Empirical Finance (2022)
Keywords: Cryptocurrencies; Trading fees; Market liquidity; Tick size;

Market efficiency assessment for multiple exchanges of cryptocurrencies,
Orlando Telles Souza and João Vinícius França Carvalho, in Revista de Gestão (2023)
Keywords: Cryptocurrencies, Efficient market hypothesis, Vector autoregression

A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets,
Nikolaos A. Kyriazis, in JRFM (2019)
Keywords: survey; bitcoin; cryptocurrency; efficient market hypothesis

Price delay and herding: evidence from the cryptocurrency market,
Barbara Abou Tanos and Omar Meharzi, in Review of Behavioral Finance (2024)
Keywords: Herding behavior, Cryptocurrencies, Price delay, Market efficiency

Convergence in cryptocurrency prices? the role of market microstructure,
Nicholas Apergis, Dimitrios Koutmos and James Payne, in Finance Research Letters (2021)
Keywords: Bitcoin; Club convergence; Cryptocurrencies; Market microstructure;

Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis,
Brajaballav Kar and Chandrabhanu Das, from Springer (2022)
Keywords: Cryptocurrency, Efficient market hypotheses, Irrational, Volatility

Disposition effect and herding behavior in the cryptocurrency market,
Steven Haryanto, Athor Subroto and Maria Ulpah, in Economia e Politica Industriale: Journal of Industrial and Business Economics (2020)
Keywords: Cryptocurrency market, Bitcoin, Disposition effect, Herding behavior

Are Cryptocurrencies and African stock markets integrated?,
Seyram Pearl Kumah and Jones Odei-Mensah, in The Quarterly Review of Economics and Finance (2021)
Keywords: Cryptocurrency; African stock markets; Integration; Wavelet coherency; Spillover effect;

The prevalence of price overreactions in the cryptocurrency market,
Oliver Borgards and Robert Czudaj, in Journal of International Financial Markets, Institutions and Money (2020)
Keywords: Cryptocurrency; Overreaction; Mean reversion; Turning point; Stock market;

Dynamic connectedness and integration in cryptocurrency markets,
Qiang Ji, Elie Bouri, Chi Keung Lau and David Roubaud, in International Review of Financial Analysis (2019)
Keywords: Cryptocurrencies; Market integration; Return and volatility connectedness networks; Asymmetric spillover;

Cryptocurrencies and stock market indices. Are they related?,
Luis Gil-Alana, Emmanuel Abakah and María Fátima Romero Rojo, in Research in International Business and Finance (2020)
Keywords: Cryptocurrencies; Stock market indices; Fractional integration; Fractional cointegration;

Price Overreactions in the Cryptocurrency Market,
Guglielmo Maria Caporale and Alex Plastun, from DIW Berlin, German Institute for Economic Research (2018)
Keywords: cryptocurrency market, Bitcoin, overreaction, momentum, abnormal returns, contrarian strategy, trading strategy, trading robot

Volatility in the Cryptocurrency Market,
Jinan Liu and Apostolos Serletis, in Open Economies Review (2019)
Keywords: Cryptocurrency, Financial markets, Spillover effects, GARCH-in-mean model, Asymmetric BEKK model, Volatility transmission

Price Overreactions in the Cryptocurrency Market,
Guglielmo Maria Caporale and Alex Plastun, from CESifo (2018)
Keywords: cryptocurrency market, Bitcoin, overreaction, momentum, abnormal returns, contrarian strategy, trading strategy, trading robot

Lévy processes on the cryptocurrency market,
Damian Zięba, from Faculty of Economic Sciences, University of Warsaw (2019)
Keywords: cryptocurrency market, distribution fitting, Generalized Hyperbolic distribution, Alpha-Stable distribution, Lévy process

Using an artificial financial market for studying a cryptocurrency market,
Luisanna Cocco, Giulio Concas and Michele Marchesi, in Journal of Economic Interaction and Coordination (2017)
Keywords: Artificial financial market, Cryptocurrency, Bitcoin, Heterogeneous agents, Market simulation

INTERNATIONAL CRYPTOCURRENCY MARKET AND DISTINGUISHING FEATURES OF ITS DEVELOPMENT,
Ushakov Denis (Ушаков, Денис), Podolskaya Tatiana (Подольская, Т.), Tomashevskaya L. (Томашевская Л.) and Sysoeva Anna (Сысоева, Анна), in State and Municipal Management Scholar Notes (2019)
Keywords: cryptocurrency, blockchain, Bitcoin, cryptocurrency market, electronic money, financial transactions, finance, capitalization, financial market

Analysis of the performance of Islamic gold-backed cryptocurrencies during the bear market of 2020,
Shaista Wasiuzzaman, Ayu Nadhirah Muhd Azwan and Aina Nazurah Hj Nordin, in Emerging Markets Review (2023)
Keywords: Cryptocurrencies; Islamic gold-backed cryptocurrency; Bear market of 2020; Performance; Volatility;

Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition,
André D. Gimenes, Jéfferson Colombo and Imran Yousaf, in Financial Innovation (2023)
Keywords: Corporate cryptocurrency acquisition, Bitcoin, Cryptocurrency, Blockchain, Market reaction

Herding behaviour and price convergence clubs in cryptocurrencies during bull and bear markets,
Stephanos Papadamou, Nikolaos A. Kyriazis, Panayiotis Tzeremes and Shaen Corbet, in Journal of Behavioral and Experimental Finance (2021)
Keywords: Cryptocurrency; Convergence; Herding; Bull market; Bear market;

A study of the impact of cryptocurrency price volatility on the stock and gold markets,
Xiangyu Zhang, Zhuming Chen and Shengyu Wang, in Finance Research Letters (2024)
Keywords: Cryptocurrency; Price fluctuation; Stock market; Gold market;

The impact of cryptocurrency on the efficient frontier of emerging markets,
Ćosić Karlo and Časni Anita Čeh, in Croatian Review of Economic, Business and Social Statistics (2019)
Keywords: Bitcoin, cryptocurrency market, efficient frontier, emerging markets, Markowitz modern theory

How does the cryptocurrency market affect the stock market performance in the MENA region?,
Mina Sami Ayad and Wael Abdallah, in Journal of Economic and Administrative Sciences (2020)
Keywords: Performance, Islamic, Stock market, MENA, Cryptocurrency

Efficiency in cryptocurrency markets: new evidence,
Carmen López-Martín, Sonia Benito Muela and Raquel Arguedas Sanz, in Eurasian Economic Review (2021)
Keywords: Market efficiency, Adaptive market hypothesis, Cryptocurrencies, Random walk, Hurst exponent, Variance ratio test

Are cryptocurrencies becoming more interconnected?,
Nektarios Aslanidis, Aurelio Fernandez Bariviera and Alejandro Perez-Laborda, in Economics Letters (2021)
Keywords: Cryptocurrencies; Market linkages; Diversification;

CRYPTOCURRENCIES BETWEEN UTOPIA AND REALITY,
Adela Socol, in Annals - Economy Series (2020)
Keywords: Cryptocurrencies, Unregulated domain, Bitcoin, Capitalisation of the cryptocurrency market

HERDING IN CRYPTO-CURRENCY MARKETS,
Taufeeq Ajaz and Anoop S Kumar, in Annals of Financial Economics (AFE) (2018)
Keywords: Crypto-currency, bitcoin, herding

MAX momentum in cryptocurrency markets,
Yi Li, Andrew Urquhart, Pengfei Wang and Wei Zhang, in International Review of Financial Analysis (2021)
Keywords: Cryptocurrency; MAX effect; Momentum;

Competition in the Cryptocurrency Market,
Neil Gandal and Hanna Halaburda, from NET Institute (2014)
Keywords: bitcoin, cryptocurrency, network effects

Competition in the Cryptocurrency Market,
Neil Gandal and Hanna Halaburda, from C.E.P.R. Discussion Papers (2014)
Keywords: Bitcoin; Cryptocurrency; Network effects

CRISIS AND CONTAGION IN CRYPTOCURRENCY MARKET,
Bhavesh Garg, Karan Rai, Rishabh Pachoriya and Manik Thappa, in Bulletin of Monetary Economics and Banking (2023)
Keywords: COVID-19, Cryptocurrency, Wavelet, Contagion.

Cryptocurrencies: market analysis and perspectives,
Giancarlo Giudici, Alistair Milne and Dmitri Vinogradov, in Economia e Politica Industriale: Journal of Industrial and Business Economics (2020)
Keywords: Cryptocurrencies, Cryptoassets, Bitcoin, Blockchain

Cryptocurrency Returns, Cybercrime and Stock Market Volatility: GAS and Regime Switching Approaches,
Kazeem Abimbola Sanusi and Zandri Dickason-Koekemoer, in International Journal of Economics and Financial Issues (2022)
Keywords: cryptocurrencies; cybercrime; stock market volatility; South Africa

COVID-19, Lockdowns and herding towards a cryptocurrency market-specific implied volatility index,
Ghulame Rubbaniy, Stathis Polyzos, Syed Kumail Abbas Rizvi and Abiot Tessema, in Economics Letters (2021)
Keywords: Covid-19; Herding behavior; Cryptocurrencies; VCRIX; Market fear;

Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market,
Rocco Caferra, in Physica A: Statistical Mechanics and its Applications (2022)
Keywords: Cryptocurrencies; Information diffusion; Sentiment; Financial market;

An empirical study of risk diffusion in the cryptocurrency market based on the network analysis,
Ming-Yuan Yang, Zhen-Guo Wu and Xin Wu, in Finance Research Letters (2022)
Keywords: Cryptocurrency market; Risk diffusion; Network analysis;

The impacts of cryptocurrency shocks on emerging market currencies: evidence from quantile regression,
Mei-yin Lin, in Economics Bulletin (2023)
Keywords: Cryptocurrency, Emerging market currency, Quantile regression model

Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect,
Alessio Brini and Jimmie Lenz, in Economics Letters (2022)
Keywords: Cryptocurrency; Leverage effect; Volatility; Market crash;

Predicting cryptocurrency market volatility: Novel evidence from climate policy uncertainty,
Daxiang Jin and Jize Yu, in Finance Research Letters (2023)
Keywords: Climate policy uncertainty; Cryptocurrency market; GARCH-MIDAS;

A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,
Dean Fantazzini and Stephan Zimin, from University Library of Munich, Germany (2019)
Keywords: cryptocurrencies; market risk; credit risk; ZPP

Time and frequency dynamics of connectedness between cryptocurrencies and commodity markets,
Bin Mo, Juan Meng and Liping Zheng, in Resources Policy (2022)
Keywords: Connectedness; Portfolio diversification; Cryptocurrencies; Commodity markets; COVID-19;

Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency,
Saba Qureshi, Muhammad Aftab, Elie Bouri and Tareq Saeed, in Physica A: Statistical Mechanics and its Applications (2020)
Keywords: Cryptocurrencies; Wavelet analysis; Interdependencies; Market integration; Contagion;

Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter,
Jiahang Zhang and Chi Zhang, in Research in International Business and Finance (2022)
Keywords: Cryptocurrency market; Trading volume; Issuer sentiment;

Does mining fuel bubbles? An experimental study on cryptocurrency markets,
Marco Lambrecht, Andis Sofianos and Yilong Xu, from University of Heidelberg, Department of Economics (2020)
Keywords: cryptocurrency; financial market experiment; Bitcoin; bubbles

Does mining fuel bubbles? An experimental study on cryptocurrency markets,
Marco Lambrecht, Andis Sofianos and Yilong Xu, from University of Heidelberg, Department of Economics (2021)
Keywords: bubbles; cryptocurrency; financial market experiment; Bitcoin

A generalised seasonality test and applications for cryptocurrency and stock market seasonality,
Savva Shanaev and Binam Ghimire, in The Quarterly Review of Economics and Finance (2022)
Keywords: Cryptocurrency; Market efficiency; Seasonality; Seasonality test;

A New Wolf in Town? Pump-and-Dump Manipulation in Cryptocurrency Markets*,
Anirudh Dhawan and Tālis J Putniņš, in Review of Finance (2023)
Keywords: Market manipulation, Pump-and-dump, Cryptocurrencies, Overconfidence, Gambling

A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,
Dean Fantazzini and Stephan Zimin, in Economia e Politica Industriale: Journal of Industrial and Business Economics (2020)
Keywords: Cryptocurrencies, Market risk, Credit risk, ZPP

Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform,
Hongshen Yang and Avinash Malik, in IJFS (2024)
Keywords: pair trading; multivariate; quantitative trading; cryptocurrency market

Volatility and return spillovers between stock markets and cryptocurrencies,
Godfrey Uzonwanne, in The Quarterly Review of Economics and Finance (2021)
Keywords: Stock market return; Returns spillover; Volatility spillover; Cryptocurrency; Bitcoin;

Understanding cryptocurrency volatility: The role of oil market shocks,
Libo Yin, Jing Nie and Liyan Han, in International Review of Economics & Finance (2021)
Keywords: Oil market shocks; Cryptocurrency volatility; Macroeconomic uncertainty; Safe haven;

Hedging effectiveness of cryptocurrencies in the European stock market,
Luca Gambarelli, Gianluca Marchi and Silvia Muzzioli, in Journal of International Financial Markets, Institutions and Money (2023)
Keywords: Cryptocurrencies; Hedging; Asymmetric effects; Stock market returns; Covid-19 outbreak;

Does Uncertainty Indices Impact the Cryptocurrency Market,
Li Yi Thong, Ricky Chee Jiun Chia and Mohd Fahmi Ghazali, in Capital Markets Review (2024)
Keywords: Geopolitical risk, economic policy uncertainty, US equity market uncertainty, cryptocurrency.

Jump Driven Risk Model Performance in Cryptocurrency Market,
Ramzi Nekhili and Jahangir Sultan, in IJFS (2020)
Keywords: stochastic volatility with co-jumps; threshold GARCH; RiskMetrics; validation; cryptocurrency market

Return equicorrelation in the cryptocurrency market: Analysis and determinants,
Elie Bouri, Xuan Vinh Vo and Tareq Saeed, in Finance Research Letters (2021)
Keywords: Cryptocurrency; Bitcoin; Return equicorrelation; DECO; Market integration; determinants;

Quantifying systemic risk in the cryptocurrency market: A sectoral analysis,
Samet Gunay, Buket Kırcı Altınkeski, Emrah Ismail Çevik and John W. Goodell, in Finance Research Letters (2023)
Keywords: Systemic risk; Cryptocurrency market sectors; Component expected shortfall;

The effectiveness of technical trading rules in cryptocurrency markets,
Shaen Corbet, Veysel Eraslan, Brian Lucey and Ahmet Sensoy, in Finance Research Letters (2019)
Keywords: Bitcoin; Cryptocurrencies; Technical analysis; High frequency trading; Efficient market hypothesis;

Cryptocurrency market microstructure: a systematic literature review,
José Almeida and Tiago Gonçalves, in Annals of Operations Research (2024)
Keywords: Cryptocurrencies, Bitcoin, Efficiency, Market microstructure, Systematic literature review, Bibliometric analysis

Understanding Drivers of Boom and Bust in Cryptocurrency Markets,
Ibrahim Yagli and Ozkan Haykir, from Springer (2024)
Keywords: Cryptocurrency Markets, Large Price Movements, Cox Proportional Hazard Model

The entry and exit dynamics of the cryptocurrency market,
David Vidal-Tomás, in Research in International Business and Finance (2021)
Keywords: Bitcoin; Cryptocurrency; Index cohesive force; Initial coin offering (ICO); Diversification; Market sentiment; Correlations;

Momentum and contrarian effects on the cryptocurrency market,
Krzysztof Kosc, Pawel Sakowski and Robert Ślepaczuk, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Cryptocurrencies; Bitcoin; Momentum and contrarian effect; Investment strategies; Efficient market hypothesis; Modern asset allocation;

The day of the week effect in the cryptocurrency market,
Guglielmo Maria Caporale and Alex Plastun, in Finance Research Letters (2019)
Keywords: Efficient Market Hypothesis; Day of the week effect; Cryptocurrency; Bitcoin; Anomaly; Trading strategy;

The dynamics of market efficiency of major cryptocurrencies,
Faheem Aslam, Bilal Ahmed Memon, Ahmed Hunjra and Elie Bouri, in Global Finance Journal (2023)
Keywords: Cryptocurrency; Market efficiency; MF-DFA; Rolling window; Herding behaviour; COVID-19 outbreak;

Cryptocurrency Market Reactions to Regulatory News,
Raphael Auer and Stijn Claessens, from CESifo (2020)
Keywords: digital currencies, cryptocurrencies, bitcoin, ethereum, distributed ledger technology, regulation, financial markets, event studies

Investor attention and the pricing of cryptocurrency market,
Wei Zhang and Pengfei Wang, in Evolutionary and Institutional Economics Review (2020)
Keywords: Investor attention, Cryptocurrency market, Linear and nonlinear causality, Google Trends, Hash algorithm, Quantile regression

Statistical Arbitrage in Cryptocurrency Markets,
Thomas Günter Fischer, Christopher Krauss and Alexander Deinert, in JRFM (2019)
Keywords: statistical arbitrage; cryptocurrencies; machine learning

Cryptocurrencies: Market Trends and Sanctions,
Kirill Shilov, in Russian Economic Development (2023)
Keywords: cryptocurrency, Central Bank, bitcoin, regulations

Liquidity connectedness in cryptocurrency market,
Mudassar Hasan, Muhammad Abubakr Naeem, Muhammad Arif, Syed Jawad Hussain Shahzad and Xuan Vinh Vo, in Financial Innovation (2022)
Keywords: Liquidity, Time–frequency connectedness, Cryptocurrencies

Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?,
Shuyue Yi, Zishuang Xu and Gang-Jin Wang, in International Review of Financial Analysis (2018)
Keywords: Connectedness; Volatility spillover; Cryptocurrency; Bitcoin;

Momentum and contrarian effects on the cryptocurrency market,
Krzysztof Kość, Pawel Sakowski and Robert Ślepaczuk, from Faculty of Economic Sciences, University of Warsaw (2018)
Keywords: cryptocurrencies, bitcoin, blockchain, momentum effect, contrarian effect, investment strategy, efficiency of financial markets, new asset class, asset allocation