Browsing by Keywords "Cryptocurrencies"

Now showing items 1-9 of 9

    • The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives 

      Akyıldırım, E.; Corbet, S.; Katsiampa, P.; Kellard, N.; Şensoy, Ahmet (Elsevier, 2020)
      We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing ...

    • The effectiveness of technical trading rules in cryptocurrency markets 

      Corbet, S.; Eraslan, V.; Lucey, B.; Şensoy, Ahmet (Elsevier, 2019)
      We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using ...

    • Financial economics of cryptocurrency markets 

      Aslan, Aylin (Bilkent University, 2021-01)
      The financial sector is currently experiencing a gradual change, driven by near-term digital and technological innovations. Emerging distributed ledger technologies (DLT), such as Blockchain, open new avenues for investors ...

    • Intraday efficiency-frequency nexus in the cryptocurrency markets 

      Aslan, Aylin; Şensoy, Ahmet (Elsevier, 2020)
      This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies ...

    • Lottery-like preferences and the MAX effect in the cryptocurrency market 

      Özdamar, Melisa; Akdeniz, Levent; Şensoy, Ahmet (SpringerOpen, 2021-12)
      We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample ...

    • Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment 

      Banerjee, Ameet Kumar; Akhtaruzzaman, Md; Dionisio, Andreia; Almeida, Dora; Sensoy, Ahmet (Elsevier, 2022-12)
      The paper examines how various COVID-19 news sentiments differentially impact the behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to investigate the relationship between the top 30 ...

    • The relationship between implied volatility and cryptocurrency returns 

      Akyıldırım, E.; Corbet, S.; Lucey, B.; Şensoy, Ahmet; Yarovaya, L. (Elsevier, 2020)
      We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. ...

    • Retail vs institutional investor attention in the cryptocurrency market 

      Özdamar, Melisa; Şensoy, Ahmet; Akdeniz, L. (Elsevier BV, 2022-10-10)
      We investigate the impact of retail vs institutional investor attention on returns, idiosyncratic risk and liquidity of the cryptocurrency market. Accordingly, retail (institutional) investor attention has a negative ...

    • Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements 

      Akyıldırım, E.; Corbet, S.; Cumming, D.; Lucey, B.; Şensoy, Ahmet (Elsevier, 2020)
      Cryptocurrencies have been broadly scrutinised in recent times for a host of concerning regulatory and cybercriminality issues. Although steps have been taken to promote regulatory sufficiency in the near future, we examine ...