Fundamental and speculative components of the cryptocurrency pricing dynamics

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00569560" target="_blank" >RIV/67985556:_____/23:00569560 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/23:10459183

Výsledek na webu

<a href="https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00465-7" target="_blank" >https://jfin-swufe.springeropen.com/articles/10.1186/s40854-023-00465-7</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1186/s40854-023-00465-7" target="_blank" >10.1186/s40854-023-00465-7</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Fundamental and speculative components of the cryptocurrency pricing dynamics

Popis výsledku v původním jazyce

The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes. Fundamental components are believed to have a weak, if any, role in the price-formation process. This study examines five cryptoassets with different backgrounds, namely Bitcoin, Ethereum, Litecoin, XRP, and Dogecoin between 2016 and 2022. It utilizes the cusp catastrophe model to connect the fundamental and speculative drivers with possible price bifurcation characteristics of market collapse events. The findings show that the price and return dynamics of all the studied assets, except for Dogecoin, emerge from complex interactions between fundamental and speculative components, including episodes of price bifurcations. Bitcoin shows the strongest fundamentals, with on-chain activity and economic factors driving the fundamental part of the dynamics. Investor attention and off-chain activity drive the speculative component for all studied assets. Among the fundamental drivers, the analyzed cryptoassets present their coin-specific factors, which can be tracked to their protocol specifics and are economically sound.

Název v anglickém jazyce

Fundamental and speculative components of the cryptocurrency pricing dynamics

Popis výsledku anglicky

The driving forces behind cryptoassets’ price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes. Fundamental components are believed to have a weak, if any, role in the price-formation process. This study examines five cryptoassets with different backgrounds, namely Bitcoin, Ethereum, Litecoin, XRP, and Dogecoin between 2016 and 2022. It utilizes the cusp catastrophe model to connect the fundamental and speculative drivers with possible price bifurcation characteristics of market collapse events. The findings show that the price and return dynamics of all the studied assets, except for Dogecoin, emerge from complex interactions between fundamental and speculative components, including episodes of price bifurcations. Bitcoin shows the strongest fundamentals, with on-chain activity and economic factors driving the fundamental part of the dynamics. Investor attention and off-chain activity drive the speculative component for all studied assets. Among the fundamental drivers, the analyzed cryptoassets present their coin-specific factors, which can be tracked to their protocol specifics and are economically sound.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA20-17295S" target="_blank" >GA20-17295S: Kryptoaktiva: Cenotvorba, provázanost, těžba a jejich interakce</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Financial Innovation

ISSN

2199-4730

e-ISSN

2199-4730

Svazek periodika

9

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

23

Strana od-do

61

Kód UT WoS článku

000943644900001

EID výsledku v databázi Scopus

2-s2.0-85149920064