Blockchain characteristics and cryptocurrency returns

被引：11

作者：

Bhambhwani, Siddharth M. ^{[1
]}

Delikouras, Stefanos ^{[2
]}

Korniotis, George M. ^{[2
]}

机构：

[1] Washington Coll, Chestertown, MD 21620 USA

[2] Univ Miami, Coral Gables, FL USA

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2023年 / 86卷

关键词：

Hashrate; Network; Factor analysis; GMM; Rolling estimation; TIME-SERIES; PANEL-DATA; UNIT-ROOT; RISK; CONSUMPTION; ATTRITION;

D O I：

10.1016/j.intfin.2023.101788

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether blockchain characteristics such as network size and computing power affect cryptocurrency prices and returns. Network size reflects adoption and usage of the blockchain while computing power proxies for the real-world resources expended on securing and confirming transactions. Consistent with theoretical models, we find that cryptocurrency prices exhibit comovement with these two blockchain characteristics. Further, aggregate net-work and computing power explain the variation in expected cryptocurrency returns at least as well as models with return-based factors such as market, size, and momentum. Overall, our results show that blockchain-based factors are important for explaining cryptocurrency prices and returns.

引用

页数：18

共 90 条

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