The effect of the launch of bitcoin futures on the cryptocurrency market: an economic efficiency approach
We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes. Our results show that the introduction of Bitcoin futures did not affect the economic efficiency of the cryptocurrency market. However, we observe that Bitcoin obtained the highest risk-return trade-off due to its liquidity compared to the rest of cryptocurrencies. Therefore, our paper underlines the support of investors on Bitcoin to the detriment of the rest of cryptocurrencies.
A Cross-Sectional Analysis of Growth and Profit Rate Distribution: The Spanish Case
We analyse the time evolution of the empirical cross-sectional distribution of firms’ profit and growth rates. In particular, we analyse the conditional properties of the empirical distributions depending on the size of the firms and the business cycle phase. In order to do so, we employ the Laplace distribution as a benchmark, further considering the Subbotin and Asymmetric Exponential Power (AEP hereafter) distributions, to capture the potential asymmetry and leptokurtosis of the empirical distribution. Our results show that the profit rates of large firms are characterised by an asymmetric Laplace distribution with parameters largely independent of the business cycle phase. Small firms, …
Herding in the cryptocurrency market: CSSD and CSAD approaches
Abstract We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency.
Semi-strong efficiency of Bitcoin
Abstract This research examines the semi-strong efficiency of Bitcoin in the Bitstamp and Mt.Gox markets, showing how the digital currency responds to monetary policy and Bitcoin events. On the one hand, we observe that Bitcoin has become more efficient over time in relation to its own events. On the other hand, Bitcoin is not affected by monetary policy news, highlighting the absence of any kind of control on Bitcoin. These findings are relevant for investors and policymakers since Bitcoin is a financial asset without any connection to the measures of central banks.
Weak efficiency of the cryptocurrency market: a market portfolio approach
ABSTRACTCryptocurrencies have attracted the attention of many investors and policymakers given the increase in popularity of Bitcoin. In this context, we analyse the cryptocurrency market by means ...