We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

The present study conducts a dynamic conditional cross-correlation and time-frequency correlation analyses between cryptocurrency and equity markets in both advanced and emerging economies. The purpose of the study is twofold. First, the study investigates the presence of the pure (narrow) form...

The letter examines herding in the most liquid cryptocurrency markets relative to traditional financial markets of 10 emerging economies within the G20. Our results reference significant symmetric crowd and imitation trading, which are dependent on time. Additionally, we report asymmetric herd...

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

At the end of 2017, the Bitcoin price dropped significantly by around 70% over two months. Since the introduction of Bitcoin futures coincided with this market crash, the new financial instrument might have caused the market crash, the literature emphasizing that the futures enabled investors to...

Motivated by the lure of cryptocurrencies for retail investors, whose concentrated holdings are particularly exposed to price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression approach, we find that the connection is concentrated in...

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...