Purpose Our analysis is targeted at researchers in the fields of economics and finance, and we place emphasis on the incremental contributions of each paper, key research questions, study methodology, main conclusions and data and identification tactics. By focusing on these critical areas, our...

Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add...

This study discovers a statistically and economically significant intraday anomaly on Bitcoin markets. Positive returns of 0.58 bps per minute are disproportionately concentrated at the turn of 15-minute candles (in minutes 0, 15, 30, and 45 of each trading hour). Average returns in other...

We construct a model for Bitcoin-like cryptocurrency as risky and costly bubbles in an infinite-horizon production economy with incomplete markets. This model is consistent with the following facts: i) the surging Bitcoin market presents enormous volatility, and ii) its price dynamics are...

This study investigates the extreme connectedness between Bitcoin and crypto-mining stocks using the quantile connectedness approach of Ando, Greenwood-Nimmo, and Shin (2022). We estimate the connectedness (i.e., direction and strength of spillover effects) at the median, extreme lower, and...