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Recent Developments in Cryptocurrency Markets
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Recent Developments in Cryptocurrency Markets

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Technology and Innovation".

Deadline for manuscript submissions: closed (30 June 2022) | Viewed by 8802

Special Issue Editor

Dr. Paraskevi Katsiampa

E-Mail Website
Guest Editor
Sheffield University Management School, The University of Sheffield, Sheffield S10 1FL, UK
Interests: financial markets; time series analysis; financial econometrics; risk and financial management; economics; econometrics; statistics; forecasting

Special Issue Information

Dear Colleagues,

Over the last few years, cryptocurrency markets have been the subject of interest of the media, regulators and investors alike. Cryptocurrencies have become a popular topic among academics as well. Since the introduction of Bitcoin in 2009, the cryptocurrency market has substantially developed, with cryptocurrencies being increasingly used for investment purposes. At the same time, merchants and businesses are gradually accepting Bitcoin as a form of payment, whereas an increasing number of governments is looking into developing their own central bank digital currency. Nevertheless, due to the frequently observed periods of rapid price appreciations followed by sharp declines, cryptocurrencies remain a controversial topic.

Although cryptocurrencies have attracted substantial attention over the last decade, cryptocurrency markets continue to evolve. After reaching its previous all-time high of nearly 20,000 US Dollars in December 2017, three years later Bitcoin’s price hits one record after another, with its price exceeding 50,000 US Dollars and its market capitalisation surpassing 1 trillion US Dollars as of February 2021. It is therefore important to further develop our understanding in regard to the way in which cryptocurrency markets operate.

The aim of this special issue is to promote research on cryptocurrency price dynamics during the continuous evolution of cryptocurrency markets. Topics of interest include but are not limited to the following:

  • Cryptocurrency market efficiency/inefficiency
  • Price bubbles in cryptocurrencies
  • Cryptocurrency market volatility
  • Determinants of cryptocurrency price dynamics
  • Cryptocurrency interdependencies
  • Linkages between cryptocurrencies and financial markets
  • Portfolios with cryptocurrencies
  • The impact of Covid-19 on cryptocurrency markets
  • Central bank digital currencies

Dr. Paraskevi Katsiampa
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Cryptocurrency dynamics
  • Cryptocurrency bubbles
  • Cryptocurrency volatility
  • Cryptocurrency interdependencies

Published Papers (2 papers)

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Research

28 pages, 1795 KiB  
Article
Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach
by Pascal Bruhn and Dietmar Ernst
J. Risk Financial Manag. 2022, 15(8), 346; https://doi.org/10.3390/jrfm15080346 - 5 Aug 2022
Cited by 7 | Viewed by 3328
Abstract
The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a portfolio comprising the [...] Read more.
The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a portfolio comprising the 20 largest cryptocurrencies, which cover 82.1% of the total cryptocurrency market. The returns are examined for extreme tail risks by the application of Extreme Value Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal threshold to model the tail distribution. Furthermore, we aggregate the individual market risks with a t-Student Copula to investigate possible diversification effects on a portfolio level. The empirical analysis indicates that all examined cryptocurrencies show high volatility in their price movements, whereby Bitcoin acts as the most stable cryptocurrency. All return distributions are heavy-tailed and subject to extreme tail risks. We find strong, positive intra-market correlations, in particular with the two largest cryptocurrencies Bitcoin and Ethereum. No diversification effect can be achieved by aggregating market risks. On the contrary, a negligibly lower expected return and higher joint extreme returns can be observed. From this analysis, it can be concluded that investments in individual cryptocurrencies as well as in a portfolio show extreme risks of losses. From the investor’s point of view, a possible strategy of risk reduction through portfolio formation within cryptocurrencies is only promising to a limited extent and does not offer a satisfactory solution to significantly reduce the risk within this asset class. Full article
(This article belongs to the Special Issue Recent Developments in Cryptocurrency Markets)
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18 pages, 587 KiB  
Article
The Elephant in the Dark: A New Framework for Cryptocurrency Taxation and Exchange Platform Regulation in the US
by Koray Caliskan
J. Risk Financial Manag. 2022, 15(3), 118; https://doi.org/10.3390/jrfm15030118 - 4 Mar 2022
Cited by 4 | Viewed by 4752
Abstract
The proliferation of cryptocurrencies and the remarkable expansion of novel economic practices associated with them pose an unprecedented challenge to established norms of taxation and market regulation. Drawing on two years of fieldwork, surveys, as well as big data analysis of the most [...] Read more.
The proliferation of cryptocurrencies and the remarkable expansion of novel economic practices associated with them pose an unprecedented challenge to established norms of taxation and market regulation. Drawing on two years of fieldwork, surveys, as well as big data analysis of the most valuable 100 cryptocurrencies’ white papers and the terms of service agreements of all cryptocurrency exchange platforms, this paper proposes an evidence-based framework to design a novel regulation and taxation approach to cryptocurrencies and their markets by using the US as case study. This new framework calls for approaching cryptocurrencies as data money. Drawing on the material political economy of new digital financial practices, the paper locates the universe of taxable events and invisible/vague regulation areas by approaching exchange platforms as stacked economization processes. We need to make sense of these new economic spaces in order to imagine more effective regulative instruments addressing questions of economic actor protection and efficiency. The paper concludes by proposing a new instrument of taxation (Data Money Tax) and a dynamic regulative approach to cryptocurrency exchange platforms (Stack Regulation). Full article
(This article belongs to the Special Issue Recent Developments in Cryptocurrency Markets)
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