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Article
Publication date: 19 February 2024

Tauqeer Saleem, Ussama Yaqub and Salma Zaman

The present study distinguishes itself by pioneering an innovative framework that integrates key elements of prospect theory and the fundamental principles of electronic word of…

Abstract

Purpose

The present study distinguishes itself by pioneering an innovative framework that integrates key elements of prospect theory and the fundamental principles of electronic word of mouth (EWOM) to forecast Bitcoin/USD price fluctuations using Twitter sentiment analysis.

Design/methodology/approach

We utilized Twitter data as our primary data source. We meticulously collected a dataset consisting of over 3 million tweets spanning a nine-year period, from 2013 to 2022, covering a total of 3,215 days with an average daily tweet count of 1,000. The tweets were identified by utilizing the “bitcoin” and/or “btc” keywords through the snscrape python library. Diverging from conventional approaches, we introduce four distinct variables, encompassing normalized positive and negative sentiment scores as well as sentiment variance. These refinements markedly enhance sentiment analysis within the sphere of financial risk management.

Findings

Our findings highlight the substantial impact of negative sentiments in driving Bitcoin price declines, in contrast to the role of positive sentiments in facilitating price upswings. These results underscore the critical importance of continuous, real-time monitoring of negative sentiment shifts within the cryptocurrency market.

Practical implications

Our study holds substantial significance for both risk managers and investors, providing a crucial tool for well-informed decision-making in the cryptocurrency market. The implications drawn from our study hold notable relevance for financial risk management.

Originality/value

We present an innovative framework combining prospect theory and core principles of EWOM to predict Bitcoin price fluctuations through analysis of Twitter sentiment. Unlike conventional methods, we incorporate distinct positive and negative sentiment scores instead of relying solely on a single compound score. Notably, our pioneering sentiment analysis framework dissects sentiment into separate positive and negative components, advancing our comprehension of market sentiment dynamics. Furthermore, it equips financial institutions and investors with a more detailed and actionable insight into the risks associated not only with Bitcoin but also with other assets influenced by sentiment-driven market dynamics.

Details

The Journal of Risk Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1526-5943

Keywords

Book part
Publication date: 29 May 2023

Miklesh Prasad Yadav, Atul Kumar and Vidhi Tyagi

Design/Methodology/Approach: This chapter applies tests associated with the adaptive market hypothesis (AMH) and Johansen cointegration test. AMH acknowledges the views of the…

Abstract

Design/Methodology/Approach: This chapter applies tests associated with the adaptive market hypothesis (AMH) and Johansen cointegration test. AMH acknowledges the views of the efficient market hypothesis and behavioural finance approach.

Purpose: Cryptocurrencies are considered a new asset class by multiasset portfolio managers. Hence, we examine the AMH and cointegration in the cryptocurrency market to know whether select cryptocurrencies can be diversified.

Findings: We find that cryptocurrencies are efficient and there is a long-run relationship among constituent series, and there is no short-run causality derived from bitcoin, Ethereum and litecoin to bitcoin, while stellar and Dogecoin have short-run causality to bitcoin.

Originality/Value: This chapter is different from the existing one as this is the first study in which the AMH and Johansen cointegration test are applied to check the efficiency and relationship of Bitcoin, Ethereum, and Monero, Stellar, litecoin and Dogecoin.

Details

Smart Analytics, Artificial Intelligence and Sustainable Performance Management in a Global Digitalised Economy
Type: Book
ISBN: 978-1-80382-555-7

Keywords

Book part
Publication date: 13 April 2023

Ayyuce Memis Karatas, Emin Karatas, Ayhan Kapusuzoglu and Nildag Basak Ceylan

This chapter presents an overview of the Bitcoin and its impacts on the environment and economics from the viewpoint of carrying out a systematic analysis of the literature…

Abstract

This chapter presents an overview of the Bitcoin and its impacts on the environment and economics from the viewpoint of carrying out a systematic analysis of the literature related to the environmental and economic effect of digital currency. It is aimed to summarize and critically examine the points of view regarding Bitcoin mining, considering its effects on global warming and the social environment, employing peer-reviewed data associated through literatures. As a result, this study provides the chance to analyze the set of knowledge regarding the effects of the Bitcoin mining procedure on the ecosystem in regard to energy use and CO2 emissions regarding unit root tests and causality test based on nonlinear models. The results show that there exists a nonlinear causal relationship between statistics on Bitcoin mining and the CO2 emissions. The results also imply that Bitcoin remains to be a tool utilized in the economic environment for a range of objectives despite high energy consumption and some negative environmental impact within the scope of renewable energy; hence, authorities would take Bitcoin mining impacts into account to reduce CO2 emissions.

Article
Publication date: 5 December 2023

Monika Chopra, Chhavi Mehta, Prerna Lal and Aman Srivastava

The purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study…

Abstract

Purpose

The purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study also aims to provide insights to crypto investors (portfolio managers) who wish to maintain a crypto portfolio for the medium term and can use the Bitcoin to minimize their losses. The findings of this research can also be used by policymakers and regulators for accommodating the Bitcoin as a medium of exchange, considering its safe haven nature.

Design/methodology/approach

This study applies the cross-quantilogram (CQ) approach introduced by Han et al. (2016) to examine the safe-haven property of the Bitcoin against the other selected crypto assets. This method is robust for estimating bivariate volatility spillover between two markets given unusual distributions and extreme observations. The CQ method is capable of calculating the magnitude of the shock from one market to another under different quantiles. Additionally, this method is suitable for fat-tailed distributions. Finally, the method allows anticipating long lags to evaluate the strength of the relationship between two variables in terms of durations and directions simultaneously.

Findings

The Bitcoin acts as a weak safe haven asset for a majority of new crypto assets for the entire study period. These results hold even during greed and fear sentiments in the crypto market. The Bitcoin has the ability to protect crypto assets from sharp downturns in the crypto market and hence gives crypto traders some respite when trading in a highly volatile asset class.

Originality/value

This study is the first attempt to show how the Bitcoin can act as a true matriarch/patriarch for crypto assets and protect them during market turmoil. This study presents a clear and concise representation of this relationship via heatmaps constructed from CQ analysis, depicting the quantile dependence association between the Bitcoin and other crypto assets. The uniqueness of this study also lies in the fact that it assesses the protective properties of the Bitcoin not only for the entire sample period but also specifically during periods of greed and fear in the crypto market.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Book part
Publication date: 16 January 2023

Lennart Ante

This chapter introduces the concept of cryptocurrencies such as bitcoin, ether, or litecoin. The chapter describes the history of cryptocurrency, blockchain technology, and the…

Abstract

This chapter introduces the concept of cryptocurrencies such as bitcoin, ether, or litecoin. The chapter describes the history of cryptocurrency, blockchain technology, and the quest for secure digital money, followed by a discussion of cryptocurrency as a phenomenon. Next, it discusses individual cryptocurrencies, including an overview of bitcoin and relevant subgroups, such as so-called forks or privacy coins. It also explains developments such as stablecoins or central bank digital currencies, which are potentially much more in line with bitcoin’s original idea of digital cash. Overall, the chapter provides a basic understanding of cryptocurrencies, their defining characteristics, challenges, and markets.

Details

The Emerald Handbook on Cryptoassets: Investment Opportunities and Challenges
Type: Book
ISBN: 978-1-80455-321-3

Keywords

Book part
Publication date: 28 September 2022

Chi Lo

Abstract

Details

The Digital Renminbi’s Disruption
Type: Book
ISBN: 978-1-80455-330-5

Book part
Publication date: 11 November 2019

Miguel R. Olivas-Lujan

Blockchains, also known as “distributed ledger technologies” (DLT) are perhaps the emerging innovation that, in the years leading up to and including 2019, is raising the highest…

Abstract

Blockchains, also known as “distributed ledger technologies” (DLT) are perhaps the emerging innovation that, in the years leading up to and including 2019, is raising the highest expectations for HRM in the 4.0 business environment. In essence, a blockchain is a very specific type of database, with characteristics that made it the ideal application for cryptocurrencies like Bitcoin. Within the context of digital- or e-HRM, there is potential to improve human resource management (HRM) processes using blockchains for employment screening, credential and educational verification, worker contracts and payments, among others, notwithstanding questions about its efficiency vis-à-vis conventional alternatives (Maurer, 2018; Zielinski, 2018). The research questions examined in this chapter include the following: What are the main characteristics of blockchains? Will they be adopted in a widespread form, specifically by HRM departments? Constructs from Diffusion of Innovations (DOI) theory (Rogers, 2003) are used to inform the Human Resources scholarly and practitioner communities; this robust theory may help companies allocate resources (e.g., budgets, personnel, managerial time, etc.) in an evidence-informed manner. As of this writing, very few blockchain applications, such as credential verification and incident reporting, seem to hold a strong potential for adoption.

Details

HRM 4.0 For Human-Centered Organizations
Type: Book
ISBN: 978-1-78973-535-2

Keywords

Book part
Publication date: 21 October 2019

Miriam Sosa, Edgar Ortiz and Alejandra Cabello

One important characteristic of cryptocurrencies has been their high and erratic volatility. To represent this complicated behavior, recent studies have emphasized the use of…

Abstract

One important characteristic of cryptocurrencies has been their high and erratic volatility. To represent this complicated behavior, recent studies have emphasized the use of autoregressive models frequently concluding that generalized autoregressive conditional heteroskedasticity (GARCH) models are the most adequate to overcome the limitations of conventional standard deviation estimates. Some studies have expanded this approach including jumps into the modeling. Following this line of research, and extending previous research, our study analyzes the volatility of Bitcoin employing and comparing some symmetric and asymmetric GARCH model extensions (threshold ARCH (TARCH), exponential GARCH (EGARCH), asymmetric power ARCH (APARCH), component GARCH (CGARCH), and asymmetric component GARCH (ACGARCH)), under two distributions (normal and generalized error). Additionally, because linear GARCH models can produce biased results if the series exhibit structural changes, once the conditional volatility has been modeled, we identify the best fitting GARCH model applying a Markov switching model to test whether Bitcoin volatility evolves according to two different regimes: high volatility and low volatility. The period of study includes daily series from July 16, 2010 (the earliest date available) to January 24, 2019. Findings reveal that EGARCH model under generalized error distribution provides the best fit to model Bitcoin conditional volatility. According to the Markov switching autoregressive (MS-AR) Bitcoin’s conditional volatility displays two regimes: high volatility and low volatility.

Details

Disruptive Innovation in Business and Finance in the Digital World
Type: Book
ISBN: 978-1-78973-381-5

Keywords

Book part
Publication date: 10 June 2019

Mina Richards

Blockchain is creating many opportunities for business as it is transforming the way sustaining technologies operate in organizations. In blockchain, transactions are recorded as…

Abstract

Blockchain is creating many opportunities for business as it is transforming the way sustaining technologies operate in organizations. In blockchain, transactions are recorded as digital blocks and contain immutable properties to preserve data validation, encryption, and algorithms. The goal is to provide uniqueness and resistant to fraud. For example, digital currencies use a shared network to permanently record transactions but operate in decentralized mode to secure independence among participants. The potential applications of blockchain are unlimited and proliferating although several initiatives are still in development. Many industries are already capitalizing on experimental blockchain projects. Leaders in those industries are partnering with R&D and start-up companies to determine opportunities. Also, research universities have dedicated labs to focus on new theoretical concepts or improvements that can be leveraged in healthcare, global rights management, and decentralized publishing to name a few. Blockchain is called as “trustless system” because it can disrupt entire industries. This chapter explores the blockchain origins and its underlying technologies to understand concepts and become familiar with the latest development. A crypto-digital currency like Bitcoin will be introduced in some detail to bring awareness to the benefits, risks, and ethical concerns. A discussion on regulations will be included to investigate how government policy affects cryptocurrencies and related security. In the interest of blockchain inspired projects, the chapter will also introduce a broader discussion on new ventures adopting blockchain attributes and the trends of gradual technology implementation among early adapters.

Details

Advances in the Technology of Managing People: Contemporary Issues in Business
Type: Book
ISBN: 978-1-78973-074-6

Keywords

Book part
Publication date: 8 November 2021

Surachai Chancharat and Julaluk Butda

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study…

Abstract

This chapter examines the dynamic linkages between the returns of Bitcoin, gold, and oil by using daily closing price data between July 17, 2010 and January 8, 2021. This study applies the diagonal BEKK–GARCH model for the purpose of analyzing a volatility spillover of variables in positive or negative ways. The empirical results show that the lagged returns inversely affect their current returns in oil. Based on the return spillovers between Bitcoin and gold, the empirical results indicate a unidirectional return spillover from Bitcoin to gold. Moreover, the authors found a unidirectional return transmission is observed from oil to Bitcoin, implying that oil returns are useful in forecasting Bitcoin returns. These findings are not only valuable for understanding of the interrelationships between the returns of Bitcoin, gold, and oil, but they are also of great interest to portfolio managers, investors, and investment funds that are actively dealing in Bitcoin, gold, and oil.

Details

Environmental, Social, and Governance Perspectives on Economic Development in Asia
Type: Book
ISBN: 978-1-80117-594-4

Keywords

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