Now showing items 1-5 of 5
Intraday efficiency-frequency nexus in the cryptocurrency markets
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 ...
Riding the wave of crypto-exuberance: the potential misusage of corporate blockchain announcements
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 ...
The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives
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 ...
Lottery-like preferences and the MAX effect in the cryptocurrency market
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 ...
The relationship between implied volatility and cryptocurrency returns
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. ...