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Bitcoin fluctuations and the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Financial markets and portfolio management 33 (2019) 2, pp. 109-131

Persistent link: https://www.econbiz.de/10012113737

Bitcoin fluctuations and the frequency of price overreactions

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

Persistent link: https://www.econbiz.de/10011922057

Giver and the receiver : understanding spillover effects and predictive power in cross-market Bitcoin prices

Gillaizeau, Marc; Jayasekera, Ranadeva; Maaitah, Ahmad; … - In: International review of financial analysis 63 (2019), pp. 86-104

Persistent link: https://www.econbiz.de/10012207422

Informational inefficiency of Bitcoin : a study based on high-frequency data

Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353

Persistent link: https://www.econbiz.de/10012135746

The intraday dynamics of Bitcoin

Eross, Andrea; McGroarty, Frank; Urquhart, Andrew; … - In: Research in international business and finance 49 (2019), pp. 71-81

Persistent link: https://www.econbiz.de/10012135993

Volatility analysis of Bitcoin price time series

Pichl, Lukáš; Kaizoji, Taisei - In: Quantitative finance and economics 1 (2017) 4, pp. 474-485

Persistent link: https://www.econbiz.de/10012137891

Causal relationship between bitcoin price volatility and trading volume : rolling window approach

Yamak, Nebiye; Yamak, Rahmi; Samut, Serkan - In: Financial studies 23 (2019) 3, pp. 6-20

This study investigates the causal relationship between price volatility and trading volume for bitcoin which is the … first cryptocurrency. Data are daily and cover the period starting from December 27, 2013 to March 3, 2019. Price volatility … volatility. There also exists a causality running from price volatility to volume. But this causality isnot statistically strong …

Persistent link: https://www.econbiz.de/10012146170

Modelling the dynamics of Bitcoin and Litecoin : GARCH versus stochastic volatility models

Tiwari, Aviral Kumar; Kumar, Satish; Pathak, Rajesh - In: Applied economics 51 (2019) 37, pp. 4073-4082

Persistent link: https://www.econbiz.de/10012196960

The destabilising effects of cryptocurrency cybercriminality

Corbet, Shaen; Cumming, Douglas J.; Lucey, Brian M.; … - In: Economics letters 191 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012507992

What drives Bitcoin's price crash risk?

Kalyvas, Antonios; Papakyriakou, Panayiotis; Sakkas, … - In: Economics letters 191 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012508027