Threat of intervention in cryptocurrency market: West side story of Bitcoin and Ripple
Yükleniyor...
Dosyalar
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Bucharest University of Economic Studies
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study examines the impact of intervention threats on the price and volume volatility of Bitcoin and XRP. Using the Threshold or GJR-GARCH model, we analyse the relationship between news shocks (representing intervention threats) and the volatilities of Bitcoin and XRP price and volume returns, based on data from January 2014 to April 2021. The results indicate a significant association between news shocks and Bitcoin's price volatility, suggesting that intervention-related news events have a notable impact. However, the relationship between news shocks and XRP's price volatility is insignificant. Notably, XRP's volume returns demonstrate a positive and significant relationship with news shocks, while Bitcoin's volume returns do not exhibit a significant relationship. Additionally, past shocks and conditional variance shocks significantly contribute to the volatility of today's price or volume returns. These findings suggest that Ripple (XRP) may benefit from the implicit threat of intervention, strategically managing its availability to control price surges.
Açıklama
Anahtar Kelimeler
Bitcoin, Cryptocurrency, GJR-GARCH, The Threat of Intervention, XRP
Kaynak
Economic Computation and Economic Cybernetics Studies and Research
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
57
Sayı
4
Künye
Aysan, A. F., Khan, A. I., Isac, N., Drammeh, O. ve Özcan, R. (2023). Threat of intervention in cryptocurrency market: West side story of Bitcoin and Ripple. Economic Computation and Economic Cybernetics Studies and Research, 57(4), 41-56. http://doi.org/10.24818/18423264/57.4.23.03
