The rapid rise of Bitcoin and its increasing global adoption has raised concerns about its impact on traditional markets, particularly in periods of economic turmoil and uncertainty such as the COVID-19 pandemic. This study examines the extent of the volatility contagion from the Bitcoin market...

This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (Stellar and Ripple) cryptocurrencies. Using a novel...

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

Anomalies, which are incompatible with the efficient market hypothesis and mean a deviation from normality, have attracted the attention of both financial investors and researchers. A salient research topic is the existence of anomalies in cryptocurrencies, which have a different financial...

In recent years, the tendency of the number of financial institutions to include cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have some commonalities with more traditional assets, they...

Recent literature has addressed initial coin offering (ICO) projects, which are an innovative form of venture financing through cryptocurrencies using blockchain technology. Many features of ICOs remain unexplored, leaving much room for additional research, including the success factors of ICO...

This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp,...

In recent years, Bitcoin has received substantial attention as potentially high-earning investment. However, its volatile price movement exhibits great financial risks. Therefore, how to accurately predict and capture changing trends in the Bitcoin market is of substantial importance to...

This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1% VaR. For the 5% VaR, quantity variables, such as...

We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271-296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin...