1

Dissertation: Analysis, Impact and the Future of Cryptocurrencies

Last Name: Middle Name: First Name

Name of The Professor

University Affiliation

Course Name

Code of The Course

Date
 2

Abstract

The purpose of this research is to uncover variables that influence the price of crypto

currencies. We use data from 2013 to 2018 to analyze the four most popular crypto currencies

and the factors that influence them. Aside from the SP 500 index, we use factors that are

directly relevant to crypto currencies, including the number of generated crypto currencies.

We estimate that there are two Bitcoin ARCH models and three so-called altcoin models that

use ARCH-type specifications (alternative coins for Bitcoin). Recent investigations allowed

us to identify substantial links between the "US dollar, the Eurozone's Euro, gold/silver,"

currency market outcomes and nature of crypto currency marketplaces. Returns on dollars

have always been negatively related to returns on each crypto currency, whereas daily dollar

transactions have always been positively related to returns on each crypto currency. Other

Determinants can have a positive or negative impact on the Crypto currency being studied.

Keywords: “Bitcoin, Ethereum, Litecoin, Ripple, crypto currencies, crypto currency price

determinants, asset demand determinants, ARCH-type models.”

 3

Acknowledgment

This dissertation would not have been possible without all of the help and encouragement I

have received. As a starting point, I would like to appreciate Professor ……….and Professor

…………from Department of Economics at the Business School for their guidance in

developing the study subject and methodology. I also salute my teachers and staff from the

Business School for their amazing support and for giving me with several opportunities to do

research and improve my dissertation. My parents are also to be thanked for their sensible

advice and understanding ear. Finally, there were my buddies, who helped me think through

our concerns and conclusions, as well as provide a cheerful diversion to let me reset my

thoughts.

I got a lot of help and encouragement while working on my dissertation. My initial

thanks go to my supervisors, Prof…………and Prof………………, both of the “Business

School's Department of Economics”. With their aid, It was posibble to create our research

topic and techniques. A big thank you goes out to everyone at the Business School for their

support and encouragement, as well as the opportunities they've given me for furthering my

dissertation. My parents are also to be thanked for their wisdom and understanding. Finally,

there were my buddies, who helped me think through our challenges and conclusions, as well

as provide a cheerful diversion to let me reset my mind.

 4

Table of Contents

1. Introduction…………………………………………………………............................6

2. Review of literature…………………...………………………………………………7

2.1 Inflation in the Crypto-currency Market ……….…………………………………7

2.2. Possibilities for Cryptocurrency Risk Management………………………………7

2.3. Investing in Bitcoin and Other Cryptocurrencies …...……………………………9

2.4. Money in a Cryptocurrency...................................................................................10

2.5 2.5 What Factors Affect the Value of Cryptocurrencies?.....................................10

2.6. Cryptocurrencies Market Volatility ……………………………………………..12

3. Crypto Market Overview ………………………..…………………………………..14

4. Methods and Data …...……………………………………………………………….17

4.1. Data……………………………………………………………………………...17

4.2. Methodology…………………………………………………………………….19

5. Results………………………………………………………………………………..22

5.1. Bitcoin (BTC) …………………………………………………………………...22

5.2. Ethereum (ETH)…………………………………………………………………25

5.3. Litecoin (LTC)…………………………………………………………………..28

5.4. Ripple effect (XPR)......………………………………………………………….30

The foreseeable future ……...……………………………………………………….33

6.1. The future………………………………………………………………………..33

6.2. Recommendation………………………………………………………………...34

6.3. Conclusions……………………………………………………………………...36

7. References………………………………………………………………………………...37
 5

List of tables

Table 1. …………………………………………………………………………………...….22

Table 2………………………………………………………………………………………..23

Table 3………………………………………………………………………………………..23

Table 4. ………………………………………………………………………………………24

Table 5. ………………………………………………………………………………............25

Table 6. ………………………………………………………………………………………26

Table 7. ………………………………………………………………………………………27

Table 8. ………………………………………………………………………………………27

Table 9. ………………………………………………………………………………………27

Table 10. ……………………………………………………………………………………..28

Table 11. ……………………………………………………………………………………..29

Table 12. ……………………………………………………………………………………..29

Table 13. ……………………………………………………………………………………..29

Table 14………………………………………………………………………………………30

Table 15………………………………………………………………………………………31

Table 16. ……………………………………………………………………………………..31

Table 17. ……………………………………………………………………………………..32

 6

Chapter 1

1. Introduction

"Bitcoin, Ethereum, Ripple, and Litecoin" will be studied using weekly data from 2013 to

2018 to see how macroeconomic conditions affect crypto currency returns. As a new market,

there is a lot of interest in cryptocurrency literature, but it is still in its infancy. I've made

some new discoveries in this dissertation. The study will look at not just one cryptocurrency,

but four, to see if there are any interactions between them, unlike most previous studies.

Price inflation in the bitcoin market has also occurred, as we've shown. For each of

the five crypto currencies, two ARCH-type models were estimated: one for each of the other

three altcoins; one for each of these altcoins, which are also known as "altcoins" (alternative

coins for Bitcoin). What we suspected was proven, namely that the profits on cryptocurrency

exchanges are in reality determined by factors such as number of produced currencies and

volume of transactions, including gold, silver, US dollar (USD), euro (EUR). For each

cryptocurrency, the return on investment is more closely tied to the return on the USD than

for the other way around. In the case of the cryptocurrency being researched, the other

characteristics are also essential, but they have either a positive or negative impact on the

final conclusion. On this paper an overview of the most current yet most successful studies on

cryptocurrencies and their primary study fields. Section three gives a quick rundown of the

bitcoin market's workings. Discussion of statistics and methods are done in this part. Finally,

Section 6 wraps things up with a summary of everything we learned.

 7

Chapter 2

2. Literature Review

Cryptocurrency research questions are examined in this section. We also found the factors

that we used in our models for cryptocurrency returns in the literature that we studied.

2.1 Market Bubbles in Crypto currency

It is not just supply and demand that determines the price of a cryptocurrency; there is also a

lot of room for speculation in the cryptocurrency markets. Because of speculation, the value

of this market may rise or fall significantly.. Because of the attention it receives from the

world's media, a bitcoin bubble is more likely to arise. A look at whether or not the bitcoin

market might be susceptible to bubbles is the topic of this section.

Cheah and Fry explore Bitcoin bubbles (2015). To measure Bitcoin's value in dollars,

they utilized the Bitcoin Coin desk Index. With the use of the cointegration Johansen test, it

was discovered that Bitcoin is vulnerable to market-driven inflation. There is a huge "average

disparity" between fundamental and bubble pricing in Bitcoin prices, which indicates that

Bitcoin's core value is zero. This is one more indication that Bitcoin is a worthless medium of

exchange.

Corbet et al. explore the date stamping bubbles in the Bitcoin and Ethereum markets (2017).

API data (in USD) from 2009 to 2017 and the Phillips unit root Phillips approach are used to

look for bubbles in both markets. In the opinion of the experts, Bitcoin is now experiencing a

period of overvaluation.

2.2 Hedging Capabilities of Cryptocurrencies

Researchers examine whether cryptocurrency may be used as a hedge in this area. They're

curious if cryptocurrencies, like gold, may be used as a form of financial safekeeping. As a

hedging strategy, they aim to find out if the price of cryptocurrency can be employed

effectively. According to Bouri et al. (2017), the presence of Bitcoin's safe-haven features
 8

was investigated between 2011 and 2015. "Engle's bivariate dynamic correlation model"

concludes that Bitcoin does not make a good hedge and should only be used for

diversification reasons rather than for its own sake. When the Asian stock market experiences

weekly strong down swings, Bitcoin's hedging and safe-haven properties might make it a

feasible alternative for investors.

According to Bouri et al., Bitcoin's potential to protect against global uncertainty is

explored (2017). According to the researchers, the Volatility Index was calculated using data

from Coindesk for Bitcoin and Thomson Reuters DataStream between 2011 and 2016. (VIX).

Using wavelet multiscale decomposition techniques, Bitcoin acts as a buffer for

unpredictability, positively responding to both higher quartile and shorter frequency changes.

In the wake of Bitcoin's return, Demir et al. (2018) are looking for policy

recommendations. Using data from “Coindesk from 2010 to 2017 and the daily US Economic

Policy Uncertainty (EPU) index,” researchers demonstrated that Bitcoin's returns are

negatively connected with macroeconomic variables.

From 2010 to 2015, Datastream and the Financial Times Stock Exchange Index

(FTSE) were used to gather information about Bitcoin's value, and the current Bitcoin price

was retrieved from Coindesk. It is more difficult for Bitcoin to hedge against the US dollar

than it is for gold to do so, according to this author's asymmetrical Generalized

Autoregressive Conditional Heteroscedasticity (GARCH) model.

2.3 Investing in the Cryptocurrency Market

In addition to serving as an alternative means of payment, cryptocurrencies may also be

worthwhile investments because of their high level of liquidity. Because they are so

unpredictable, you can both win and lose money. The authors in this section explore the topic

of investing in cryptocurrencies.
 9

Feng et al. (2017) used "data from bitcoincharts.com between 2011 and 2017" to

analyze intelligent trading in the Bitcoin market. The size of an order can be used to detect

traders who are making well-informed decisions based on information they have access to

before it is made public. It is possible that informed commerce exists in the absence of

explicit regulating rules or bodies.

“Brauneis and Mestel (2018)” used "Coinmarketcap.com data from 2015 to 2017" in

their study of cryptocurrency prices. The authors found that as liquidity grows,

cryptocurrencies become less predictable, which means that the bid–ask gap has the predicted

negative influence on efficiency. Data from "CryproCompare.com for crypto currencies and

Bloomberg for capital instruments was used to evaluate the dynamic linkages between crypto

currencies and other financial assets. " According to Diebold and Yilmaz's generalized

variance decomposition approach, investors with short investment horizons may profit from

bitcoin's diversification advantages since temporal changes in the connections reflect a

sudden change in the economy or the financial sector.

Using asset returns' distribution tails, Gkillas and Katsiampa (2018) developed the

extreme value theory (EVT), which is used to determine which crypto currencies are perhaps

the most and least destructive. Coindesk.com and coinmarketcap.com.com were utilized to

acquire data on the top five cryptocurrencies. Consequently, they discovered that Bitcoin

Cash was the most dangerous option, while "Bitcoin plus Litecoin" was the safest.

Coin markets are examined by Ciaian et al. (2018), who focus on the virtual links between

them. For virtual currency statistics, "Quandl.com and coinmarketcap.com" were utilized

from 2013 to 2016. The Chinese yuan against the US dollar and the euro, as well as two

exchange rates for the dollar against the euro, are also utilized. Autoregressive Distributive

Lag (ADL) modeling was used by the authors for these results. This model shows that the
 10

Bitcoin and Altcoin markets have a substantial relationship; however the correlation is

smaller in the near term.

2.4 Is Crypto currency Money?

The three major roles of money, according to economists, are to facilitate commerce, serve as

a unit of account, and serve as a repository for wealth. In order to find out if bitcoin can

match these three conditions, we're doing some research right now.

According to Gervais et al. (2014), Bitcoin may be considered decentralized if it is not

controlled by a central authority such as a government or bank, which is how the term

"decentralized money" is used. "Normal" money doesn't seem to be decentralized in the same

way that Bitcoin does to them. Yermack (2015) is curious about the money status of Bitcoin.

Bitcoin is seen by many as nothing more than a financial instrument. Explains to him how

Bitcoin is utilized as a form of payment in Bjerg (2016). To summarize, Bitcoin is

commodity money that does not include gold; it is also a fiat currency that does not have any

sovereign state; and it is a credit currency that does not have debt. The author describes

Bitcoin as a currency-commodity hybrid that is "somewhere in the middle."

2.5 What Determines Crypto currencies’ Price?

An enormous number of variables impact today's currency and commodities values. In

addition to investors, extraction challenges and market demand may all have an impact on

price variations. Crypto currencies and other types of digital money are the same thing.

Crypto currency market study is focusing on the elements that affect the price of the digital

currency.

Analysis of Bitcoin's price by Kristoufek (2015) is based on data from "coindesk.com

and www.blockchain.info." The price of Bitcoin has been found to be influenced by

fundamental factors such as trade, money supply, and price level. Another aspect that affects
 11

Bitcoin's value is the excitement of investors. Finally, it doesn't appear that Bitcoin is a

shelter for investors seeking safety.

It has been examined by Ciaian et al. (2016), that concentrates on the economic

dynamics that have influenced Bitcoin's value.. As a financial indicator, Bitcoin's US dollar

value, the daily volume of transactions, the number of unique Bitcoin addresses, as well as

the oil and stock market indices from 2009 to 2014 are taken into consideration. A Vector

Autoregressive model shows a strong connection between Bitcoin's price and interest in the

digital currency (VAR). This is despite past studies showing that the price of Bitcoin is driven

by macroeconomic variables.

A study by Hayes (2017) uses the cost of production method for analyzing Bitcoin to

examine the development of cryptocurrency value. The research makes use of Bitcoin blocks,

algorithmic difficulty, and market price data. Production rates per unit and algorithmic

complexity are all factors that affect competitiveness among bitcoin producers.

Understanding how the Bitcoin price is generated and its main repercussions were the

motivations for reading Vieira's essay (2017). “Data on gold prices, verified financial

transactions, unique Bitcoin addresses, total coin base block rewards, transaction fees paid to

miners, and the number of daily searches in Wiktionary for the term "Bitcoin" are all

included in this report.” You now have complete access to all of the knowledge you need to

succeed. On the website, you can also see the current gold price on a daily basis, as well as

historical gold prices. The material for this research was gathered via the use of government

statistics and grokstatistiken, which were utilized to create the dataset. According to models

such as the GARCH in mean and the VEC, the price of Bitcoin is dropping as it moves away

from a long-term equilibrium. (“The impact of negative shocks on volatility is far greater

than the impact of positive shocks”) (“negative shocks have a higher influence on volatility

than positive ones”).

 12

2.6 Volatility of the Cryptocurrency Market

Volatility study of the price of Bitcoin will be used by academics to determine if the currency

is well-known as a financial asset or something in the middle. When it comes to Bitcoin,

Dyhrberg (2016) use GARCH and exponential GARCH models. From 2010 to 2015, the

Coin desk Price Index used data from DataStream for all of the daily variables used in this

study. The author considers gold to be particularly helpful for hedging because of its capacity

to maintain value and its negative correlation with the USD. In contrast, Bitcoin returns are

less volatile because positive volatility shocks to other variables (such as currency exchange

rates) reduce Bitcoin volatility.

If Bitcoin returns and volatility can be forecast using volume data, then Balcilar et al.

(2017a) study this. This study used the Bitcoin index and trading volume as variables. Data

from Bit Stamp, Europe's largest Bitcoin exchange, was used in this investigation. The

causality-in-quartiles test may be used to forecast returns based on volume, with the

exception of bear and bull markets in Bitcoin. Predicting the investment performance of

bitcoin using only the quantity of bitcoin accessible at any one moment in the distribution is

very challenging.

Bariviera et al. (2017) derived their empirical results about the Cryptocurrency market

from DataStream data collected between 2011 and 2017. In spite of Bitcoin's volatility, the

Hurst Exponent has been calculated by using DFA technique to measure long-term memory.

The long-term memory of this coin is also unconnected to the liquidity of the markets.

With the use of Bitcoin Chart data from 2010 to 2014, Blau (2017) is doing study on

the Bitcoin network's financial and technical aspects. For the same time period, the author

also utilizes Bloomberg to compile historical exchange values for 51 different currencies.

According to estimations based on the GARCH model, the exceptional surge and subsequent

devaluation of currency of Bitcoin in 2013 were never the consequence of speculation.

 13

Speculative trading is closely tied to Bitcoin's unusual volatility because of the Bitcoin

market's high liquidity.

Catania and Grassi (2017) utilize data from the coin market cup and the standardized estimate

methodologies GHSKT and GARCH. According to the study's results, using a strong filter to

extract the volatility of bitcoin time series is crucial.

Volatility in Bitcoin has been studied by Katsiampa (2017), using daily closing price

data for the Bitcoin Coin Desk Index from 2010 through 2016. An examination of Bitcoin's

price volatility using conditional heteroscedasticity demonstrates that it has been more

accurately represented since its inception "they use both GARCH and AR-CGARCH."

Baur et al. (2018) investigate "Bitcoin, gold, and US money" using data from

"coindesk.com and Data stream." Garch believes that Bitcoin's volatility and correlation

characteristics are distinct from those of gold and the US dollar.

 14

Chapter 3

3. A Quick Overview of the Cryptocurrency Market

Bitcoin was the initial "cryptocurrency" to be presented as an alternative to "normal"

currencies like the US dollar during the global financial crisis of 2008. There will be many

more cryptocurrencies in the future. The value of other cryptocurrencies is largely influenced

by the value of Bitcoin. In the cryptocurrency world, they're known as "Altcoins" (alternative

coins). The worldwide financial crisis of 2008, which sparked the emergence of the first

cryptocurrencies, was mostly caused, according to the Bitcoin founder, by governments and

central banks. Some advantages, like as minimal transaction costs, secrecy, and rapid and

easy setup, may exist with this method. In contrast, a lack of accountability might encourage

the underground economy. Now each cryptocurrency may serve a multitude of purposes as

the notion has evolved through time. Tokens used on virtual platforms can be purchased

using cryptocurrency if you're seeking for a different means of payment.

Decentralized cryptocurrencies don't require banks to transport or keep their value.

Supply and demand determine cryptocurrency exchange rates, which mean that they are

subject to wide swings. Bitcoin had a value of $19,000 in December 2017, according to Coin

Desk, before plunging to about $7,000. Price is based on nothing concrete in the end. Some

economists believe that the price of a crypto currency is directly related to the amount of

energy it takes to create it. In the same way that gold coins may be swapped for their digital

equivalents, digital currencies have value. Cryptocurrencies can be used for purchases, or

they can be held and hoped that their value would grow. Transacting in cryptocurrencies is

achievable by the transfer of cryptocurrency from one digital wallet to another. There are
 15

several places where you may store an electronic wallet: on your computer's hard drive, your

Smartphone or tablet, even in the cloud. Wallets can be tied to a user's digital code rather than

a person's name. People who donate their computers to the network, known as miners, solve

complicated mathematical problems to generate fresh cash.

An auditing company is entrusted with the security of block chain ledgers. In return

for their labor, bit coin miners are rewarded with new coins. As the challenge becomes more

tough, the amount of bit coin they are handed increases. Cryptocurrencies rely on the block

chain, which is a basic data ledger file. It is possible to create a distinct block chain for each

user and wallet. All transactions are recorded on the public ledger, making it easy to check

their legality and fight fraud. Minor costs are associated with bit coin use. In certain cases,

server owners and online exchanges may charge transaction fees when a client swaps bitcoin

for fiat cash on their servers. Cryptocurrency information may be found on Coin desk,

Crypto News, and CCN.com, among others. We've got all the main cryptocurrencies covered,

including those that have just lately entered the market or are likely to do so in the near

future. You may get anything from market analysis to expert comments to pricing data on

these websites.

Four of the most prominent cryptocurrencies will be utilized by us in this project.

Starting with Bitcoin (BTC), which accounts for roughly 30 percent of overall market

volume, is a good place to begin. The support program will also cover Ethereum, the second-

largest cryptocurrency by market value (ETC). It has a volume share of about 20% of the

whole market. This coin is mostly used by programmers to pay for Ethereum network

services. As a last resort, the LTC cryptocurrency will be used. It has a market share of

roughly ten percent. Originally, it was intended to be a cheaper alternative to Bitcoin. More

coins will be accessible on the market, which means speedier transactions and a higher

maximum possible currency supply. That's all I can say. Despite these benefits, Bitcoin
 16

continues to command a higher part of the cryptocurrency market than any other coin. Ripple

(XRP), a cryptocurrency designed especially for banks and private businesses, will complete

out our list “for example, UniCredit, UBS, or Santander are using Ripple technology.” The

main goal is to make worldwide financial transactions of all sizes quick, cheap, and free of

chargebacks for its customers. The value of one XRP (a Ripple currency unit) has stayed

steady at roughly $0.50 USD.

Bitcoin-like in its usage of software and market dynamics, Litecoin is a great example

of an Altcoin. On the other hand, Ethereum has significantly different underpinnings than

Bitcoin, yet its value is still strongly linked to that of Bitcoin. Finally, there is the Ripple

cryptocurrency, which is separate from the rest. Prices, goals, and the intended audience are

all quite similar.

 17

Chapter 4

4. Data and Methodology

This section explains our database and empirical methodology.

4.1 Data

- In this area, you'll find the data. The variables' acronyms, which we'll use in the database,

are highlighted in yellow. We also know where the data comes from and how long ago it was

collected. One of the following is the dependent variable:

-“ Bitcoin's daily USD price, obtained from www.coinmetrics.io/PRICEUSDBTC

(01.05.2013 - 02.05.2018)”

-“ from coinmetrics.io: PRICEUSDETH - the daily USD price for Ethereum (10.08.2015 -

02.05.2018)”

- “Ripple's daily price in USD, retrieved from www.coinmetrics.i : PRICEUSDXRP

(07.08.2013 - 02.05.2018)”

- “Downloaded from www.coinmetrics.io, this is the daily Litecoin price in USD:

PRICEUSDLTC (01.05.2013 - 02.05.2018)”

There are a number of repressors in this list:

- “Downloaded from www.federalreserve.gov daily nominal effective exchange rate for the

US dollar (01.05.2013 - 02.05.2018)”

- “EUR - EUR nominal effective exchange rate for the day, retrieved from

www.ecb.europa.eu (European Central Bank) (May 1st, 2013 - May 2nd, 2018, inclusive)”

-“ Downloaded from www.investing.com: GOLD - real effective gold price (01.05.2013 -

02.05.2018)”
 18

- “www.investing.com's true effective price of silver for the day (01.05.2013 - 02.05.2018)”

- “Downloaded data from www.investing.com for the S&P500 index (01.05.2013 -

02.05.2018)”

-“ In the Bitcoin blockchain, TXVOLUMEUSDBTC measures daily on-chain transaction

volume (i.e., how much value denominated in US dollars flows on a day) for Bitcoin

www.coinmetrics.io (01.05.2013 - 02.05.2018)”

-“ Ethereum TXVOLUMEUSDETH, obtained from www.coinmetrics.io, shows the daily on-

chain transaction volume (the amount of value denominated in USD that flows on the

Ethereum blockchain each day) (10.08.2015 - 02.05.2018)”

- “Daily on-chain Ripple transaction volume (how much USD money is circulating on the

Ripple blockchain each day) as reported by www.coinmetrics.io for Ripple, downloaded

(07.08.2013 - 02.05.2018)”

- “For Litecoin, the TXVOLUMEUSDLTC is the on-chain daily transaction volume (the

amount of money in USD that is exchanged each day) retrieved from coinmetrics.

www.coinmetrics.io (01.05.2013 - 02.05.2018)”

- “On a daily basis, EXCHANGEVOLUMEUSDBTC - daily exchange volumes (in dollars)

for Bitcoin, retrieved from www.coinmetrics.io - (01.05.2013 - 02.05.2018)”

- “Downloaded from www.coinmetrics.io: EXCHANGEVOLUMEUSDETH - daily

exchange volume (dollar value of the volume at exchanges like Bitfinex) Ethereum

(10.08.2015 - 02.05.2018)”

- “Coinmetrics.io's coinmetrics.io site provides a daily breakdown of the dollar worth of the

volume traded on exchanges like Bitfinex. www.coinmetrics.io (07.08.2013 - 02.05.2018)”

 19

- “Downloaded from www.coinmetrics.io, EXCHANGEVOLUMEUSDLTC is Litecoin's

daily exchange volume (the dollar value of the volume traded on exchanges like Bitfinex)

(01.05.2013 - 02.05.2018)”

- “Every day, the number of new Bitcoins that have been created may be found here:

www.coinmetrics.io/generatedcoinsbtc (01.05.2013 - 02.05.2018)”

- “daily generated coins for ethereum, downloaded from www.coinmetrics.io (number of new

coins created that day) GENERATEDCOINSETH (10.08.2015 - 02.05.2018)”

- “RIPPLE DAILY GENERATED COINS - obtained from www.coinmetrics.io (number of

new coins created on that particular day) (07.08.2013 - 02.05.2018)”

- “Coinmetrics' GENERATEDCOINSLTC Litecoin daily coin generation (amount of new

coins created on that particular day) www.coinmetrics.io (01.05.2013 - 02.05.2018)”

The four “EXCHANGE VOLUME USD” factors may be clearly seen in relation to each

other. TXVOLUMEUSD is the only variable we include in our models because of the

significant pairwise correlation.

4.2 Methodology

This section explains economic analysis methods. Two ARCH models are used in this

dissertation. Time series data may be analyzed with ARCH models in econometrics. The

error term is included in the model using a conditional variance equation. ARCH models can

be employed in times of high volatility. Analysis of financial time series using ARCH models

is quite useful.

To better understand Bitcoin's price movement, we used the TARCH and ARCH-in-

mean models, both of which take advantage of the wealth of publicly available data. For

ETH, LTC, and XPR, we used ARCH-in-mean, TARCH, and ARCH, respectively, because
 20

they had the least quantity of data. For financial time series data, ARCH-in-mean and

TARCH are the most popular models because of the high volatility of cryptocurrencies.

ARCH-type models were examined and found to be the most accurate for our data. The

fastest and most effective way to solve our issue is to use variance-oriented models. ARCH-

in-mean integrates the variable's conditional variance, while TARCH has asymmetric

conditional variance; with volatility being higher in "bad times" (observed returns below its

expected value).

The model's specs have also been checked using the Breusch-Pagan and Jarque-Bera

tests. Ramsey RESET is another option. In linear regression models, the Breusch-Pagan test

is used to detect heteroscedasticity. The Jarque-Bera technique is used to determine whether

or not a sample is normal. As a result of the Ramsey RESET test, it is possible to assess if the

explanatory factors you've selected are sufficient to explain your dependent variable.

There was also a conversion of all variables into weekly rates of increase (log

differences). Weekly returns are now used to gauge the success of the four most important

cryptocurrencies "marked in the tables below by "ret" before each variable name."From the

other four monetary factors (USD, EUR, Gold, Silver and SP500). For easy reading (returns

independent of measurement units), growth rates are used. They also impose stationary

variables. Volume and Generated Coins (pc, percentage change) weekly growth rates are also

examined for this reason (to ensure stationarity). A few variables now have an additional

delay "a one period lag in the tables below is represented by L1, i.e., L1t should be read as t-

1". The predictors of each cryptocurrency output were estimated using a mean equation

model in Equation (1).

“{ret_it = αi + β1iret_usdt + β2iret_usd_L1t + β3iret_eurt + β4iret_eur_L1t + β5iret_goldt +

β6iret_gold_L1t + β7iret_silvert + β8iret_silver_L1t + β9iret_sp500t + β10iret_sp500_L1t +

 21

β11ipc_volume_usd_i,t + β12ipc_volume_usd_L1i,t + β13ipc_generated_coins_i,t +

β14ipc_generated_coins_L1i,t + εt ……………………………………………………….(1)}”

Where “[i= btc, eth, ltc, and xpr and εt is the model’s error term]”. The final model excludes

any coefficients that are judged to be statistically insignificant.

 22

Chapter 5

5. Results

5.1 Bitcoin (BTC)

Equivalently, the model in Equation (1) may be used to forecast Bitcoin's returns, and the

outcomes are displayed in the following table:

Table 1.

All things considered, it can be said that the model's ability to forecast BTC returns had a

significant influence. Investors seem to be substituting other financial assets for bitcoin with a

negative coefficient applied to the returns on the USD, the Euro, silver, the SP500 index, and

gold (all delayed one week) (all lagged one week). Silver is the most harmful to the

performance of Bitcoin. The return of the euro is linked to the recovery of silver by one

week, which has a positive association. The biggest influence on Bitcoin's return is the

(contemporaneous) return on Euro. Transaction value (in dollars) determines the return;

volume of transactions determines supply, which reduces return; this link between volume of

transactions and return is known as a supply-and-demand model.

Table 1. Modeling BTC Returns Using the ARCH-in-mean

Ret-Btc coefi Std Error z P>[z] 95% cof Interval

ret-usd -112763 0.187035 -6.03 0.010 -149421 -0.76005

Ret-Euro 4013724 0.447818 8.96 0.010 3134821 4880627

Ret-euro-L1 -251434 0.512532 -4.91 0.000 -351888 -15098

Ret- silver -0.80499 0.278323 -2.9 0.004 -135149 -0.26049

Ret-silver-L1 1375536 0.275378 5 0.000 0.835805 1915267

Rt-sp500-L1 -0.27522 0.069512 -3.85 0,000 -0.42027 013818

 23

Rt-gold-L1 -1.6983 0.21517 -7.89 0.0000 -2.12183 -127778

PC-vl-Us-btc- 0.064758 0.024975 2.65 0.008 0.017005 0114511

L1

Pc-generated -0.06826 0.070266 -9.71 0.00 -0.82045 -054591

coins-btc

cons -0.01154 0.007899 -2.46 0.144 -0.02803 0003936

Archm[sigma2] -0.0937 0.014489 -6.4 0.000 -0.1211 -0.06431

Arch[L1] 2.274486 0.319073 7.17 0.000 1.653035 2.895837

Cons 0.023588 0.004039 5.84 0.000 0.015671 0.032505

Table 2. The BTC's Residual Normality Analysis

Normality test Analysis using residue for BTC

pr adj Chi2

variable obs skewness kurtosis (2) Prob>ch2

e-norm 265 0.0007 0.000 57.64 0.0000

Table 3. BTC Reset Ramsey Test

F[3253] 20.72

Prob>f 0.0000

The Ramsey Reset test was used to evaluate our model's linearity assumption, as shown in

Table 3. An inaccurate model specification was discovered via this investigation.

 24

Relative normality and the Ramsey Reset tests show that our model in equation (1) is

not a suitable way to analyze BTC returns.

In order to estimate the equation, a multiple regression model with TARCH effects is

applied (1). The findings are shown in Table 4. All of the model's predictive components

have a substantial influence on BTC returns, according to regression analysis. We were

prepared for this. The returns of the USD, the euro, and gold all have a negative connection

with the returns of bitcoin, calculated one period after bitcoin's actual return. As far as

Bitcoin returns are concerned, gold has the greatest detrimental effect. The return on the

SP500 index, the euro, silver, and silver with a one-period lag, and the return on the BTC are

all positively correlated. The growth in the euro's value has the greatest impact on Bitcoin's

returns. Bitcoin transactions volume and the quantity of new bitcoins are consistent with the

previous estimate.

Table 4. Modeling of the BTC using Multiple Regression Analysis and TARCH Results

Ret btc coefi Std error z p>[z] 95% interval

Ret usd 0.33974 0.187724 -1.81 0.080 -0.70471 0.027223

Ret euro 5.447173 0.428288 12.82 0.000 4.608744 6.289601

Ret-euro- -1.90664 0.584519 -3.26 0.001 -3.05228 -0.76101

L1

Ret-silver 0.795817 0.248269 3.22 0.001 0.311279 1.280554

Ret-silver- 0.993775 0.333409 2.98 0.003 0.340601 1.648049

L1

Ret-sp500- 0.169417 0.05696 3.02 0.003 0.059738 0.268097

L1
 25

Ret-gold- -2.38853 0.248103 -8.87 0.00 -2.7954 -1.78366

L1

Pc-vol- 0.086375 0.036862 2.81 0.005 0.026231 0.146518

usd-tc-L1

Pc-gene- -0.53378 0.070771 -7.34 0.000 -0.67641 -039115

coins-btc

Cons 0.016387 0.016205 1.01 0.312 -0.01537 3.048147

Arch[l1] 0.84488 0.243875 3.46 0.001 0.366894 1.322866

Tarch[l1] 4.042375 0.96089 4.210 0.000 2.159065 5.925684

constant 0.030342 0.003005 10.1 0.000 0.024451 0.036232

Table 5. BTC Random Component Analysis Results for TARCH Model

Homoscedasticity

Chi2(7) 12,9

Prob>chi2 0.0856

Homoscedasticity of random components cannot be ruled out by the Breusch-Pagan test

findings. As a result, the BTC regression model is assumed to be accurate.

5.2 Ethereum (ETH)

Using the results from Table 6 (Equation 1), we were able to identify which factors had the

biggest influence on Ethereum (ETH) returns.

 26

Table 6. For the ETH Returns ARCH-in-mean Model results

Rt-eth coefi Std error z p>[z] 95% conf interval

Rt0usd -1.278873 0.091758 -13.95 0.00 -1.45747 -1.0988

Rt-euro -1.46977 0.273606 -5.35 0.000 -2.00798 -0.9355

Rt-euroL1 -4.38754 0.34234 -12.82 0.00 -5.05862 -3.7157

Rt-silver 0.841315 0.295671 2.85 0.04 0.2611811 1.42082

Rt-silver l1 -3.43375 0.21734 -15.8 0.00 -3.85973 -3.00777

Rt-sp500-L1 -1.34684 0.097689 15.31 0.00 -1.5147 -1.17097

Rt-golg-L1 1.573281 0.179895 8.79 0.00 1.222653 1.923909

Pc-vol used- 0.445316 0.004348 83.27 0.00 0.434834 0.455798

et-L1

Pc- gn coins- -3.40892 0.145738 -24.39 0.00 -3.12328 -3.12328

eth

Cons -0.14094 0.006589 -22.39 0.00 -0.15385 -0.00591

Arch{sigma2} -0.00709 0.000598 -12.84 0.00 -0.00826 -0.00591

ARCHM{l1} 14.06328 1.073624 13.3 0.00 11.95901 16.16754

Cons 8.43E-06 0.000368 0.03 0.972 -0,00083 0.00075

The model's predictive properties had a significant influence on the ETH outcomes, as shown

by the regression analysis. This means the return on investment (RoI) of ETH is negatively

related to USD, EUR, silver and the SP500 index's returns on investment. There is a strong

association between silver's present and historical returns. Gold is the most significant
 27

element affecting Ethereum results. Negative Ethereum creations are exactly the same as

positive transactions in Bitcoin.

Table 7. Residuals Distributions Normality Analysis for the ETH

Skewness/kurtosis test fornormality

Variance pr pr adj Chi2

e-norm 142 0.08 0.0000 0.0001

This shows that regression residuals are not normally distributed, as seen in Table 7 (p-value

less than 0.05).

Table 8. The ETH's Homoscedasticity Analysis of Random Components

Breusch-pagan

F(7.230 0.49

Prob>f 0.8465

Homoscedasticity of random components cannot be rejected by the Breusch-Pagan test

results (Table 8). In other words, the regression model used to predict the ETH returns is

accurate.

Table 9. The results of the "Ramsey Reset Test" for the ETH

Ramsey reset

F(3,127) 0.29

Prob>f 0.901
 28

The model's assumptions were checked for linearity using the Ramsey Reset test, which can

be shown in Table 9. With a p-value of 0.9, the model specifications were confirmed to be

correct. ETH's trajectory was examined using a regression model based on data from the

Ramsey Reset test, normality of residuals distribution, and random component

homoscedasticity analysis.

5.3 Litecoin (LTC)

For the purpose of determining which elements are most essential in impacting the Litecoin

returns, Table 10 provides the estimated outcomes of the model specified in equation (1).

(LTC).

Table 10. Returns on LTC based on the ARCH Model

Rt-ltc coefi Std.error z p>[z] 95%con int

Rt usd -11.6492 2,3782037 -4.87 0.000 -16,2105 -6.88793

Rt-silver 5.70739 2,3341655 2,45 0.015 1.124899 10.27658

Rt-sp500-L1 -1.4901 0.8708069 -1.79 0.091 -3.20102 0.24083

Pc-vol-usd-ltc-l1 0.425143 0.1110933 3.89 0.001 0.204759 0.643527

Pc gen coins-ltc 1.877943 0.4880289 3.95 0.001 0.920914 2.834972

Cons 0.327383 0.1776003 1.94 0.066 -0.02081 0.675379

ARCH[L1] 0.052798 0.020451 2347 0.019 0.008756 0.092841

TARCH[L1] 2.639883 1.18916 2.22 0.028 0.299172 4.960594

CONST 4.077587 0.23206 17.67 0.00 3.622657 4.5323170

All of the model's predictive properties had a substantial influence on LTC returns, according

to a regression analysis. The LTC return coefficients exhibit a negative association with the

SP500 and USD return coefficients from previous periods. Currency depreciation hurts
 29

Litecoin's value the greatest. the coefficient for silver is favorably associated with LTC

returns (delayed one week). This cryptocurrency market's number of transactions and the

amount of Litecoins created are both tied to the LTC returns.

Table 11. Residual Distributions of the LTC in Normality Analysis

Skeweness/kurtosis

pr pr adj Chi2

Variable 265obs Skewness Kurtosis Prob>chi2

e-norm 0.8406 0.000 16.47 0.00003

Because the p-value for the test is less than 0.05, the regression residuals do not have a

normal distribution of outcomes.

Table 12. Analyses of Random Component Homoscedasticity for the LTC

Breusch-pagan

Chi2(7) 8.47

Prob>chi2 0.2931

There is no way to rule out homoscedasticity of the random components, as shown in Table

12 by the Breusch-Pagan test. As a consequence, the LTC model's correctness may be

recognized.

Table 13. Results of the LTC Ramsey Reset Testing

Ramsey reset

F(3253) 0.15

Prob>f 0.9288
 30

The Ramsey Reset test may also be used to verify the linearity of our regression function.

Table 13 summarizes the findings. The test got a p-value of 0.9 using the right model

specification.

When analyzing long-term care expenditures, a regression model has been proven to

be a suitable tool for uses other than checking residual distribution normality and identifying

whether or not random component variance is hooped (LTC).

5.4 Ripple (XPR)

For the assessment of Ripple's (XPR) return on investment, the model given in equation (1)

yielded the results shown in Table 14. (ROI). The regression showed that all of the model's

predictive parameters had a significant impact on XPR results. Ripple returns are expected to

diminish for every unit rise in gold and silver returns, assuming all other parameters stay

constant (delayed one period). If the Euro, silver, the USD, and the S&P 500 index all climb

during the next term, ripple returns should grow as well. Due to Euro returns, the majority of

Ripple's return is affected by As with all other cryptocurrencies, there is a relationship

between the number of XPR transactions and the return on investment.

Table 14. For the XPR Returns, ARCH Model results

Ret-xpr coefi Std. error z p>[z] 95%conf interval

Ret-usd-l1 0.77970 0.232919 3.35 0.001 0.323196 1.236223

Ret-euro 3.30897 0.778062 4.25 0.000 1.783998 4.833945

Ret-eiro-L1 4.19582 0.810251 5,18 0.000 2.607765 5.78389

 31

Ret-silver 0.95398 0.35014 2.72 0.006 0.267723 1,640246

Ret-silver-L1 -1.87474 0.325233 -5.76 0.000 -2.51219 -1.2373

Ret-sp500-L1 0.29876 0.081411 3.67 0.000 0.139199 0.458322

Ret-gold-L1 -3.49116 0.322849 -10.81 0.000 -4.12393 -2.85839

Pc-vol-usd- 0.01867 0.00653 2.86 0.004 0.005875 0.03147

xpr-L1 2

Pc-vol-usd-xpr 0.0569 0.006838 8.32 0.000 0.043497 0.070304

Cons 0.03551 0.010137 3.5 0.000 0.015644 0.055378

Arch[L1] 6.20868 0.785265 7.91 0.000 4.669592 7.747774

const 0.03672 0.011093 3.31 0.001 0.014987 0.05847

Table 15. XRP Standardized residual Analysis for Normality

Skewness/ Kurtosis test for normality

Variables obs pr(skeweness) pr(Kurtosis) adj chi2(2)

Prob>chi2

e-norm 251 0.0000 0.000 5702 0.00000

 32

There is no normal distribution for the regression's residuals in table 15 since the p-value is

so low.

Table 16. The XRP's Homogeneity of variance Analysis of Random Components

Results

Breusch pagan

F(6243) 187

Prob>f 0.0864

We cannot rule out homoscedasticity of the random components based on the Breusch-Pagan

test findings (Table 16).

Table 17. For the XRP, Ramsey Reset test results

Ramsey test

F(3240) 0.27

Prob>f 0.7422

The linearity of the regression function's assessment was tested using the Ramsey Reset

method. The model's specification appears to be valid based on Table 17. (the p-value is

equal to 0.7). According to normality, homoscedasticity, and the results of the Ramsey Reset

test (apart from residual normality), the XPR regression model is accurate (aside from

normality of residuals distribution).

33
 34

Chapter .6

6.1 The future

Technology developments may one day abolish some of the existing constraints on

cryptocurrencies, such as the chance that a computer catastrophe would wipe away one's

digital riches or that a hacker will get access to one's virtual vault. For the simple reason that

they contain a fundamental contradiction, Bitcoin and other cryptocurrencies are doomed to

failure: as their use becomes more widespread, there is a greater chance that they will be

subjected to regulation and government inspection, thus undermining the fundamental

assumption that Bitcoin and other cryptocurrencies are legitimate financial instruments.

Regardless of the fact that cryptocurrencies currently represent a small portion of the

overall population, there has been a growth in the number of companies that take

cryptocurrencies in recent years. Cryptocurrencies will take some time to achieve broad

acceptability among the general population before they can be used in large scale

transactions. Due to the increased complexity of digital currencies as compared to traditional

currencies, the great majority of individuals who use them will be turned off by them.

Those wishing to get their cryptocurrency recognized into the mainstream banking

system may be required to fulfill a wide variety of conditions in order to do so. In order to

reduce fraud and hacker attacks, the system would need to be mathematically complicated

while still being simple for consumers to understand; decentralized while still providing

adequate consumer protections and security; and anonymous while not serving as a conduit

for tax evasion or money laundering activities. As tough as meeting these high standards may

be for today's fiat currencies, can we expect the most popular cryptocurrency of the future to

be something in the middle of what we have right now and what we could see in the future?
 35

Though it seems improbable, there is little doubt that the success or failure of Bitcoin in

dealing with the difficulties that it is now facing has the potential to have a substantial

influence on the future fortunes of other cryptocurrencies in the future.

As with any other high-risk investment, it may be wise to approach cryptocurrency

investments the same way you would any other high-risk investment. In other words, be

aware that you might lose all or most of your money. If a customer is willing to pay for a

cryptocurrency at a given moment, it has no inherent worth. As a result, it is very vulnerable

to large price fluctuations, increasing the likelihood that an investor may suffer a loss. When

Bitcoin dropped from $260 to $130 in just six hours on April 11th, it was a record-breaking

day for the cryptocurrency. For those who are unable to handle the level of risk, you should

look for an alternative investment opportunity. The advantages of investing in Bitcoin are still

hotly debated. Proponents point to its limited quantity and increasing use as value drivers,

while skeptics view it as simply another speculative bubble. A cautious investor would do

well to ignore this argument.

6.2. Recommendation

A steady stream of new ideas and answers to old problems being generated by the Bitcoin

community in order to gain widespread acceptance of the cryptocurrency by all stakeholders.

There are a number of cryptocurrencies, including Bitcoin, that have gained popularity and

are now commonly accepted as genuine payment options. A number of countries, such as

Iceland, are even considering the creation of their own cryptocurrency as part of their

research and development efforts (Hofman, 2014). Blockchain technology is going to be very

important in the future, and Bitcoin is going to be a big part of that. Other currencies will

follow. Bitcoin transactions are thriving in Europe and Latin America, which shows that they

are real. Bitcoin and other cryptocurrencies have a lot of things you need to know about them.

Research into how Bitcoin affects currencies that have been floating for a long time and how
 36

it compares to countries that are starting to use state-sponsored cryptocurrencies should be

done in great detail.

Using cryptocurrency to make small transactions may allow it to fill a gap in the

economy that traditional state-sponsored currencies can't. This will require a lot more

research into the market and the economy to figure out. If you want to make smart contracts,

you could use the block chain technology that makes Bitcoin possible (Hileman, 2016).

Programed payments are made when certain conditions are met. Because a company's

accounting department often handles predetermined payment arrangements, this is an

excellent area for future innovation. Finally, the creation of a digital asset via the use of

cryptography has resulted in cryptocurrency. Music in many forms of media has helped to

promote digital property as a new frontier. In contrast, coins and music may not be the only

types of digital property that become more popular in the future. Humans are now able to use

digital currencies because to the efforts of the man who founded Bitcoin eight years ago;

nonetheless, he was the only one who made it possible for the rest of the world to use digital

currencies. If cryptology, the science that made bitcoin and other cryptocurrencies possible,

can be used to the development of new and exciting digital technologies, it is probable that

they will do so in the very near future. Bitcoin and other cryptocurrencies are made feasible

by cryptology, which is the science that underpins them.

6.3. Conclusions

In this study, we examine the most important factors that influence the value of

cryptocurrencies. ARCH-type models have been used to estimate the use of four popular

cryptocurrencies: Bitcoin (USD), Ethereum (ETH), Lightning (LTC), and Ripple (XRP). It's

important to note that the models employed in this dissertation are far more comprehensive

than those utilized in earlier research, including data on created coins and the value of

transactions. When compared to past work that only employed two coins, we've used four.
 37

Cryptocurrency market determinants highlighted in recent literature are relevant,

according to our opinion. It's important to note that when making an estimate, the return of

the USD and volume of bitcoin transactions are both positive. The one-period delay in the

USD repatriation is a good sign for Ripple. The returns of the euro (contemporaneous) and

the returns of Bitcoin and Ripple have a positive correlation. Ethereum's future does not look

promising based on the current omen. With regards to XRP we have a good connection with

Bitcoins, Ethereum and Litecoin (in the current term).Bitcoin's recent returns have a negative

correlation with those of Ethereum and Ripple, but positive correlations with those of Bitcoin

(BTC) and Ripple. When ARCH-in mean is used, no such correlation is seen.

A positive sign is shown by the lagged returns of Bitcoin (ARCH in mean and

TARCH models) as well as by Litecoin, whereas a negative sign is shown by the lags of

Ethereum and Ripple. Coins like Bitcoin (ARCH and TARCH) and Ripple (Ethereum) have a

negative coefficient for gold returns, whereas Ethereum has a positive one (prior period).

Bitcoin (ARCH-in-mean model) is negatively correlated with the SP500 Index's returns,

while the correlation between Bitcoin (TARCH model) and Ripple is positively correlated.

Finally, for Bitcoin and Ethereum, the number of newly created coins has a negative

correlation with their respective returns, but this association is positive for Litecoin.
 38

References

Balcilar, M., Bouri, E., Gupta, R., & Roubaud, D. (2017). Can volume predict Bitcoin

returns and volatility? A quantiles-based approach. Economic Modelling, 64: 74–81.

https://doi.org/10.1016/j.econmod.2017.03.019.

Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of

the Bitcoin market. Physica A: Statistical Mechanics and Its Applications, 484: 82–

90. https://doi.org/10.1016/j.physa.2017.04.159.

Baur, D. G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar – A replication

and extension. Finance Research Letters, 25: 103-110.

https://doi.org/10.1016/j.frl.2017.10.012.

Bjerg, O. (2016). How is Bitcoin Money? Theory, Culture & Society, 33(1): 53–72.

https://doi.org/10.1177/0263276415619015.

Blau, B. M. (2017). Price dynamics and speculative trading in bitcoin. Research in

International Business and Finance, 41: 493–499.

https://doi.org/10.1016/j.ribaf.2017.05.010

Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017). Does Bitcoin hedge global

uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance

Research Letters, 23: 87–95. https://doi.org/10.1016/j.frl.2017.02.009.

Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe

haven properties of Bitcoin: Is it really more than a diversifier? Finance Research

Letters, 20: 192–198. https://doi.org/10.1016/j.frl.2016.09.025.

 39

Brauneis, A., & Mestel, R. (2018). Price discovery of cryptocurrencies: Bitcoin and beyond.

Economics Letters, 165: 58–61. https://doi.org/10.1016/j.econlet.2018.02.001.

Catania, L., & Grassi, S. (2017). Modeling Crypto-Currencies Financial Time-Series.

Available at SSRN. https://doi.org/10.2139/ssrn.3028486.

Cheah, E. T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical

investigation into the fundamental value of Bitcoin. Economics Letters, 130: 32–36.

https://doi.org/10.1016/j.econlet.2015.02.029.

Ciaian, P., Rajcaniova, M., & Kancs, d’Artis. (2016). The economics of BitCoin price

formation. Applied Economics, 48(19): 1799–1815.

https://doi.org/10.1080/00036846.2015.1109038.

Ciaian, P., Rajcaniova, M., & Kancs, d’Artis. (2018). Virtual relationships: Short- and long-

run evidence from BitCoin and Altcoin markets. Journal of International Financial

Markets, Institutions and Money, 52: 173–195.

https://doi.org/10.1016/j.intfin.2017.11.001.

Corbet, S., Lucey, B., & Yarovya, L. (2017). Datestamping the Bitcoin and Ethereum

bubbles. Forthcoming in Finance Research Letters.

https://doi.org/10.1016/j.frl.2017.12.006.

Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the

Dynamic Relationships between Cryptocurrencies and Other Financial Assets.

Economics Letters, 165: 28–34. https://doi.org/10.1016/j.econlet.2018.01.004.

Demir, E., Gozgor, G., Keung, C., Lau, M., & Vigne, S. A. (2018). Does economic Policy

uncertainty predicts the Bitcoin returns? An empirical investigation. Forthcoming in

Finance Research Letters. https://doi.org/10.1016/j.frl.2018.01.005.

 40

Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar – A GARCH volatility analysis.

Finance Research Letters, 16: 85–92. https://doi.org/10.1016/j.frl.2015.10.008.

Dyhrberg, A. H. (2016). Hedging capabilities of bitcoin. Is it the virtual gold? Finance

Research Letters, 16: 139–144. https://doi.org/10.1016/j.frl.2015.10.025.

Feng, W., Wang, Y., & Zhang, Z. (2017). Informed trading in the Bitcoin market.

Forthcoming in Finance Research Letters. https://doi.org/10.1016/j.frl.2017.11.009.

Gervais, A., Karame, G. O., Capkun, V., & Capkun, S. (2014). Is Bitcoin a Decentralized

Currency? IEEE Security and Privacy, 12(3): 54–60.

https://doi.org/10.1109/MSP.2014.49.

Gkillas, K., & Katsiampa, P. (2018). An application of extreme value theory to

cryptocurrencies. Economics Letters, 164: 109–111.

https://doi.org/10.1016/j.econlet.2018.01.020.

Hayes, A. S. (2017). Cryptocurrency value formation: An empirical study leading to a cost of

production model for valuing bitcoin. Telematics and Informatics, 34(7): 1308–1321.

https://doi.org/10.1016/j.tele.2016.05.005.

Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models.

Economics Letters, 158: 3–6. https://doi.org/10.1016/j.econlet.2017.06.023.

Kristoufek, L. (2015). What are the main drivers of the bitcoin price? Evidence from

Wavelet coherence analysis. PLoS ONE, 10(4): 1–15.

https://doi.org/10.1371/journal.pone.0123923.
 41

Tiwari, A. K., Jana, R. K., Das, D., & Roubaud, D. (2018). Informational efficiency of

Bitcoin—An extension. Economics Letters, 163: 106–109.

https://doi.org/10.1016/j.econlet.2017.12.006.

Vieira P. J. M. (2017). Price Analysis of Bitcoin : Volatility, Key Drivers and Evolution.

Master Thesis in Finance, FEP, Universidade do Porto.

Yermack, D. (2015). Is Bitcoin a Real Currency? An Economic Appraisal. D. K. C. Lee

(ed.), in The Handbook of Digital Currency: Bitcoin, Innovation, Financial

Instruments and Big Data. Elsevier Inc., pp. 31-44. https://doi.org/10.1016/B978-0-

12-802117-0.00002-.