Blockchain characteristics and cryptocurrency returns

【Author】 Bhambhwani, Siddharth M.; Delikouras, Stefanos; Korniotis, George M.

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】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.

【Keywords】Hashrate; Network; Factor analysis; GMM; Rolling estimation

【发表时间】2023 JUL

【收录时间】2023-09-13

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析