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Keywords = altcoins

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15 pages, 2880 KiB  
Article
On the Risk Spillover from Bitcoin to Altcoins: The Fear of Missing Out and Pump-and-Dump Scheme Effects
by Mehmet Balcilar and Huseyin Ozdemir
J. Risk Financial Manag. 2023, 16(1), 41; https://doi.org/10.3390/jrfm16010041 - 9 Jan 2023
Cited by 9 | Viewed by 5763
Abstract
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. [...] Read more.
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to uncover the existence of the “fear of missing out” psychological effect and “pump-and-dump schemes” in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and the cryptos’ own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed results regarding the presence of this theory for major cryptocurrencies. However, the empirical findings carried out by the cryptos’ own spillover effects fully confirm the existence of a fear-of-missing-out effect and pump-and-dump schemes in all cryptocurrencies except for USDT. Full article
(This article belongs to the Special Issue Commodity Market Finance)
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13 pages, 987 KiB  
Article
Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak
by Ahmet Faruk Aysan, Asad Ul Islam Khan and Humeyra Topuz
Risks 2021, 9(4), 74; https://doi.org/10.3390/risks9040074 - 13 Apr 2021
Cited by 23 | Viewed by 9567
Abstract
The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoin, Eos, BitcoinCash, Binance, Stellar, and [...] Read more.
The main aim of this article is to examine the inter-relationships among the top cryptocurrencies on the crypto stock market in the presence and absence of the COVID-19 pandemic. The nine chosen cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoin, Eos, BitcoinCash, Binance, Stellar, and Tron and their daily closing price data are captured from coinmarketcap over the period from 13 September 2017 to 21 September 2020. All of the cryptocurrencies are integrated of order 1 i.e., I(1). There is strong evidence of a long-run relationship between Bitcoin and altcoins irrespective of whether it is pre-pandemic or pandemic period. It has also been found that these cryptocurrencies’ prices and their inter-relationship are resilient to the pandemic. It is recommended that when the investors create investment plans and strategies they may highly consider Bitcoin and altcoins jointly as they give sustainability and resilience in the long run against the geopolitical risks and even in the tough time of the COVID-19 pandemic. Full article
(This article belongs to the Special Issue Financial Stability and Systemic Risk in Times of Pandemic)
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21 pages, 601 KiB  
Article
Cryptocurrency Returns before and after the Introduction of Bitcoin Futures
by Pinar Deniz and Thanasis Stengos
J. Risk Financial Manag. 2020, 13(6), 116; https://doi.org/10.3390/jrfm13060116 - 4 Jun 2020
Cited by 5 | Viewed by 4615
Abstract
This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for [...] Read more.
This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and post periods. Besides the neighbourhood of the break time, the current period is also investigated as returns start to recover after some time. Search intensity is observed to be the most important variable for Bitcoin for all periods, whereas for the other cryptocurrencies there are other variables that seem more important in the pre period, while search intensity still stands out in the post period. Furthermore, GARCH analyses suggest that search intensity increases the volatility of Bitcoin returns more in the post period than it does in the pre period. Our empirical findings suggest that the top five cryptocurrencies are substitutes before the launch of Bitcoin futures. However, this effect is lost, and moreover, there are spillover effects on altcoins during both the post and the recovery period. We find a spillover effect of the introduction of bitcoin futures on altcoins and this effect seems to persist during the recovery period. Full article
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