Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates...

This paper uses a theoretical model to analyse the dynamic relationship of virtual currency with fiat currency. The model demonstrates that the price impact of potential users and speculators in virtual currencies adversely affects their property as a medium of exchange and renders a crowding...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

This paper analyzes if Bitcoin enhances investment portfolios both financially and in terms of lower carbon emissions. We show that the addition of Bitcoin to a diversified equity portfolio does improve the risk-return relationship of the portfolio but not its sustainability by reducing the...

We investigate the price reaction of international listed companies in response to blockchain-related announcements. The average abnormal return based on a sample of 979 firm-announcements is approximately 5% with significantly higher returns for smaller firms and for announcements in late 2017...

Bitcoin is often labelled digital gold and many studies compare bitcoin and gold prices, returns and volatility. This paper digs deeper and compares the characteristics of bitcoin mining with gold mining to assess claims that bitcoin is digital gold. We identify twenty differences between gold...

This study shows that changes in bitcoin exchange reserves are negatively related to contemporaneous and future bitcoin returns, consistent with the hypothesis that the transfer of bitcoin on exchanges implies increased price pressure and vice versa. We further identify an asymmetry between...

Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across different return frequencies and across quantiles and find a...