Download or read book Event Studies with Crypto Asset Returns written by Ryan Amsden and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides the first empirical evidence of how the unique properties of crypto-asset returns impact event-study test performance. Employing a simulation approach with actual price data from 1877 unique crypto-assets over the period of January 1st, 2015 to June 30th, 2018 reveals that both parametric procedures and non-parametric procedures often result in significant statistical errors. In the presence of event-day clustering, only the Generalized Rank T-Test is both powerful and well specified. To estimate abnormal returns, the market-model with a value-weighted index produces test statistics with distributions closest to expectation. The empirical evidence provided by the simulation then used in the first ever crypto-asset based event-study. Specifically, the event study investigated allegations of insider trading by the worlds largest crypto-asset exchange Binance.com. A total of 44 unique listing announcements during the period of September 2017 to June 2018. produce a statistically significant two day return of 13.6% (CAR(0,1)). However, the GRANK-T test fails to reject the null hypothesis of no insider trading during the three days preceding the announcements. Guidance and future applications of event-studies with crypto-asset returns are discussed.

Download or read book New Evidence on Spillovers Between Crypto Assets and Financial Markets written by Roshan Iyer and published by International Monetary Fund. This book was released on 2023-09-29 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze returns and volatility spillovers among a representative set of crypto and financial assets. The magnitude of spillovers increases during periods of heightened turbulence due to negative economic-financial news, crypto market events, or exogenous shocks. There is evidence of increasing spillovers over time, with a peak during the COVID-19 pandemic, implying growing interdependence. Crypto assets predominantly transmit spillovers to financial markets, though reversals occur during periods of financial stress. The increased correlation during risk-off episodes suggests that crypto assets could serve as important conduits for financial market shocks, generating financial stability risks.

Download or read book A Re Evaluation of Event Study Methodology written by CFA PhD (CAIA, CIPM, FRM, CAMS, Mounther Barakat) and published by . This book was released on 2013 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides evidence through observations and simulations that Cumulative Abnormal Return (CAR) can result in misleading inferences about market efficiency and post-event behavior. A set of 96 companies known to have multiple events and a simulation of returns with multiple post-event events are used to test three invalidating hypotheses on event-study methodology. We find that the use of artificial portfolios in event studies biases CAR downward, the increased volatility around post-event events and on the event day lowers the significance of abnormal returns, and the time series of CAR of the individual securities is larger in magnitude and higher in significance than that of the cross-sectional CAR of the portfolio.

Download or read book I Just Did 400 Million Event Studies A Study of Market Model Robustness and Deterioration in Times of Crisis written by Mark Youhan Chen and published by . This book was released on 2014 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the financial crisis, stock returns became more correlated, increasing the R-square of market models estimated during that time. However, the overall increase in volatility also increased the standard error of these models. As a result, conventional event studies tend to find too many significant days, especially when looking further out of sample. In particular, I find that on the average day in September 2008, over 45% of stocks on the S&P 500 showed significant returns at the 5% level based on a market model estimated over the year ending September 2007. As such, I propose calculating new critical values (“RADS” critical values) using the distribution of the t-statistics of excess returns for a particular event study date and market model sample, such that only 5% of stocks in the index would be regarded as “significant”. These critical values, when calculated from S&P 500 companies, may also be applicable to other markets. In particular, I find that applying S&P 500 RADS to event studies on FTSE 100 companies leads to a tighter distribution of the proportion of companies with significant returns on each day around 5% regardless of the time period or the number of days the event is outside the market model sample, and results in a more meaningful determination of significance.

Download or read book RESEARCH THE DIRECT IMPACT OF CRYPTOCURRENCY ON STOCK RETURN EXCEPTING THE INDIRECT IMPACT THROUGH OVERALL MARKET written by Jianping Kong and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this dissertation is to examine the direct impact of cryptocurrencies, primarily Bitcoin, on stock returns, as well as to analyze the characteristics of some of the companies which Bitcoin has a large impact on stock returns and the reasons why these phenomena occur. The study examines the returns of three variables, NSDQ100 Index, Bitcoin price, and stock prices of 101 enterprises within NSDQ100 by analyzing the monthly ended figures over the past five years. As the nature of Bitcoin that cannot be directly linked to stock returns, the direct impact of Bitcoin on stock return was discussed and analyzed through two regression analyses of NSDQ100 returns and stock returns, as well as NSDQ100 returns, bitcoin returns and stock returns. This study concludes that the direct impact of Bitcoin on the stock returns of companies in the Technology and Consumer Discretionary sectors, which involve consumer goods, is significant; whereas its impact on the stock returns of companies in the Health Care sector and Consumer Discretionary sector that do not directly provide products is small.

Download or read book Handbook of Digital Currency written by and published by Academic Press. This book was released on 2015-05-05 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: Incorporating currencies, payment methods, and protocols that computers use to talk to each other, digital currencies are poised to grow in use and importance. The Handbook of Digital Currency gives readers a way to learn about subjects outside their specialties and provides authoritative background and tools for those whose primary source of information is journal articles. Taking a cross-country perspective, its comprehensive view of the field includes history, technicality, IT, finance, economics, legal, tax and regulatory environment. For those who come from different backgrounds with different questions in mind, The Handbook of Digital Currency is an essential starting point. Discusses all major strategies and tactics associated with digital currencies, their uses, and their regulations Presents future scenarios for the growth of digital currencies Written for regulators, crime prevention units, tax authorities, entrepreneurs, micro-financiers, micro-payment businesses, cryptography experts, software developers, venture capitalists, hedge fund managers, hardware manufacturers, credit card providers, money changers, remittance service providers, exchanges, and academics Winner of the 2015 "Outstanding Business Reference Source" by the Reference and User Services Association (RUSA)

Download or read book Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument written by Sunita Dasman and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to explore the potential use of the cryptocurrency bitcoin as an investment instrument in Indonesia. The return obtained from bitcoin cryptocurrency is compared to other investment instruments, namely stock returns, gold and the rupiah exchange rate. The research period was carried out based on research data from 2011 to 2020. This study employee compares means test (t test) and analysis of variance (F test) on rate of return of bitcoin investment. The bitcoin return compare to the rate of return form the others investments instruments namely exchange rate, gold and stock. The study collected 120 data of each investments instruments: bitcoin, exchange rate, gold and stock from various of sources during 2011,Äì2020. Then, we calculate the return and risk of individual investment instruments. The results showed that the bitcoin currency had the highest rate of return 18% with a standard deviation of 61% compared to exchange rate, gold and stock returns. While the rate of return for the others investment instruments showed less than 0.5% with standard deviation less than 5%. The rate of return bitcoin has significance difference compare to the rate of return of exchange rate, gold and stock. The study contribute for the investors who would like to invest on bitcoin. The investors should understand the characteristic of bitcoin in term of rate of returns and also the risk. This study also contributes to government of Indonesia on crypto currency development. The Indonesia government should adopt and regulate on crypto currency in the future to secure the investor and economic growth.

Download or read book Digital Transformation on Manufacturing Infrastructure Service written by Igor Ilin and published by Springer Nature. This book was released on 2023-06-15 with total page 1031 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains theoretical, econometric, experimental, and policy-oriented contributions of the DTMIS conference participants. Every year the DTMIS conference brings together experts from academia and industry to uncover the challenges and solutions to ensuring digital transformation on manufacturing, infrastructure, and service. The DTMIS proceedings is distinguished by the fact that it contains works not only by scientists, but also by practitioners in the industry, and, of course, their collaboration works are of particular and undeniable value. This book is useful for experienced scientists and practitioners who seek to find something new for themselves and apply it in their work, as well as for students at the beginning of their scientific activity.

Download or read book Environmental Social and Governance Perspectives on Economic Development in Asia written by William A. Barnett and published by Emerald Group Publishing. This book was released on 2021-11-08 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new volume of the International Symposia in Economic Theory and Econometrics explores the latest economic and financial developments in Asia.

Download or read book Accounting and Finance Innovations written by Nizar Alsharari and published by BoD – Books on Demand. This book was released on 2021-12-22 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world is currently experiencing the advent of new information technologies with dynamic changes, which can be considered as one of the greatest business threats today. Accordingly, international business and academia have claimed to be working towards developing innovations in accounting and finance that are useful for all stakeholders. The recent accounting and finance scholarship has moved forward toward new innovations that advance professional practice. This book introduces and discusses new innovations in accounting and finance, including management accounting, blockchain, E-business models, data analytics, artificial intelligence, cryptocurrency, bitcoin, digital assets, and associated risks. It also sheds light on how and why accounting and finance innovations have changed over time. This book will help practitioners and academics develop and introduce new accounting and finance tools and concepts. It is also a useful resource for those working in the accounting and finance fields.

Download or read book Digital Transformation of the Financial Industry written by Slađana Benković and published by Springer Nature. This book was released on 2023-01-29 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a collection of state-of-the-art research findings on the digital transformation of financial services. Digitalization has fundamentally changed financial services and has a tendency to reshape the landscape of the financial industry in an unprecedented manner. Over the last ten years, the development of new financial technologies has contributed to the creation of new business and organizational models, along with new approaches to service delivery. By encompassing significant conceptual contributions, innovations in methods and techniques, and by delineating the main applications of digital transformation in Central and Eastern Europe (CEE), the volume extends current knowledge on digital transformation in the financial industry. The book is divided into two parts. The first part provides a social-science perspective on digital transformation in the financial industry. The second part provides the most recent evidence on how financial technologies are transforming financial services on the markets, and how the adoption of modern information technologies fosters setting up new financial services. Further, this part outlines new approaches to digital transformation in the financial industry. This book will appeal to students, scholars, and researchers of finance, monetary economics, and business, as well as practitioners interested in a better understanding of the digital transformation of financial services, new financial technologies, and innovations in finance.

Download or read book Cryptoassets The Innovative Investor s Guide to Bitcoin and Beyond written by Chris Burniske and published by McGraw Hill Professional. This book was released on 2017-10-20 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: The innovative investor’s guide to an entirely new asset class—from two experts on the cutting edge With the rise of bitcoin and blockchain technology, investors can capitalize on the greatest investment opportunity since the Internet. Bitcoin was the first cryptoasset, but today there are over 800 and counting, including ether, ripple, litecoin, monero, and more. This clear, concise, and accessible guide from two industry insiders shows you how to navigate this brave new blockchain world—and how to invest in these emerging assets to secure your financial future. Cryptoassets gives you all the tools you need: * An actionable framework for investigating and valuing cryptoassets * Portfolio management techniques to maximize returns while managing risk * Historical context and tips to navigate inevitable bubbles and manias * Practical guides to exchanges, wallets, capital market vehicles, and ICOs * Predictions on how blockchain technology may disrupt current portfolios In addition to offering smart investment strategies, this authoritative resource will help you understand how these assets were created, how they work, and how they are evolving amid the blockchain revolution. The authors define a clear and original cryptoasset taxonomy, composed of cryptocurrencies, cryptocommodities, and cryptotokens, with insights into how each subset is blending technology and markets. You’ll find a variety of methods to invest in these assets, whether through global exchanges trading 24/7 or initial cryptoasset offerings (ICOs). By sequentially building on the concepts of each prior chapter, the book will provide you with a full understanding of the cryptoasset economy and the opportunities that await the innovative investor. Cryptoassets represent the future of money and markets. This book is your guide to that future.

Download or read book Blockchain and Cryptocurrencies written by Asma Salman and published by . This book was released on 2019-08-28 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance is the language of business and as technological disruption accelerates, a fundamental change is under way. This presents both opportunities and challenges for current-day organizations and finance professionals alike. Money makes the world go around, they say; but digital money not only makes the world go around, it does it in a decentralized fashion. Because the currencies are decentralized, with the right mix of technology the opportunities that emerge are noteworthy and emerge as a game changer for financial institutions. This book shows many different aspects, examples, and regulations of cryptocurrencies through its underpinning technology of blockchain in the present-day digital era. The diversity of the authors who sum up this book signify the importance of implementation in the digitized economy. It is divided into four main sections, with topics on Bitcoin, blockchain and digital returns, impact of cryptocurrencies in gaming, and cryptocurrency exchanges.

Download or read book Emerging Insights on the Relationship Between Cryptocurrencies and Decentralized Economic Models written by Kesavan, Dhanapal and published by IGI Global. This book was released on 2023-04-11 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: The significance of cryptocurrencies can be understood clearly with their high market penetration in recent times. The central banks, economists, business professionals, and authorities are examining the prospects, impacts, comfortability, and reliability aspects of cryptocurrencies. Many questions are yet to be answered empirically to cover the significance, considerations, negative impacts, policy applications, and acceptance of cryptocurrencies as marketable instruments. Many governments are concerned about the nature and volatility of cryptocurrencies due to their decentralized form. Emerging Insights on the Relationship Between Cryptocurrencies and Decentralized Economic Models discusses the answers to major queries and concerns regarding cryptocurrencies and the emergence of decentralized economic models. It covers major topics that are highly resourceful for knowledge seekers and is highly useful, containing vital information related to cryptocurrencies. Covering topics such as central bank digital currencies, financial reporting, and public perception, this premier reference source is an essential resource for economists, government officials and agency officials, policymakers, central bank professionals, investors, entrepreneurs, students and educators of higher education, librarians, researchers, and academicians.

Download or read book Research Anthology on Virtual Environments and Building the Metaverse written by Management Association, Information Resources and published by IGI Global. This book was released on 2022-12-19 with total page 797 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the advent of virtual environments and communities, the metaverse has been rapidly expanding in recent years as businesses and industries have begun to see the value and opportunities this technology provides. In order to ensure this technology is utilized to its full potential, further study on the best practices, challenges, and future directions is required. The Research Anthology on Virtual Environments and Building the Metaverse considers the latest research regarding the metaverse and discusses potential issues and benefits of the technology. The book also examines strategies and tactics businesses and companies can use when implementing the metaverse into their operations. Covering key topics such as immersion, augmented reality, and virtual worlds, this major reference work is ideal for computer scientists, business owners, managers, industry professionals, researchers, scholars, academicians, practitioners, instructors, and students.

Download or read book Taxation of Crypto Assets written by Niklas Schmidt and published by Kluwer Law International B.V.. This book was released on 2020-11-27 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: The emergence of crypto assets has required taxation authorities worldwide to develop unprecedented policies and compelled tax lawyers to apply existing laws in new ways. This book – the only one to focus solely on the taxation of crypto assets – provides a detailed country-by-country analysis of how the tax law of thirty-nine countries may apply to this rapidly developing area, including different use cases and compliance and documentation requirements. Following an overview of the technology and key characteristics of crypto assets, as well as the key tax concepts and types of taxes that could apply to them, leading practitioners in each particular jurisdiction summarize the relevant tax law in that country. Fully explained are such aspects of crypto assets as the following and how they are interrelated: sales; exchanges; receipt as remuneration; forks; airdrops; mining; staking; initial coin offerings; security token offerings; and initial exchange offerings. Contributors describe how each jurisdiction applies income and capital gains taxation, value-added tax and sales tax, withholding taxes, transfer taxes, and gift, inheritance, estate and wealth taxes in the context of crypto assets. Reporting requirements and enforcement are also covered. Tax law, as it applies to crypto assets, is new and continues to evolve. This book will be welcomed as the premier resource for tax practitioners, government officials, advisors, investors, issuers, users of crypto assets, and taxation academics who are seeking informed awareness of the policy choices countries make in dealing with the taxation of this new technology. Tax lawyers dealing with crypto assets will have comprehensive practical guidance on how to comply with the tax laws of multiple jurisdictions.

Download or read book Crypto Uncovered written by Sarah Swammy and published by Springer. This book was released on 2019-01-24 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Crypto currency integrated BlockChain under Virtual Scalable Enterprises is a widely debated and earnestly discussed topic in the technology arena. Executives at the largest institutions are calling crypto currency fraudulent while high-level institutional banking professionals are leaving their positions to jump into crypto technology, regulation and investment opportunities as industries advance towards adoption. The narratives on these topics are diametrically opposite and polarizing on both side of the debate. While this debate has many layers from a government regulatory side to social impact to the practicality of everyday use of crypto currencies in developing markets, it is safe to assume that crypto currencies or utility tokens are more than a global phenomenon and are now becoming a working framework for optional modes of business. This book demystifies what crypto currency is, how it is used, and what it means to the consumer, investor, and the future of our global currency marketplace. By providing the historical backdrop to the market, authors Sarah Swammy, Richard Thompson, and Marvin Loh provide a clear definition of what crypto-currencies actually are, how they are being used and by whom, and the unique reasons why they have gone from back street to Main Street almost overnight. The book will also delve into the government’s role in regulating this commerce medium. Lastly, the authors will look at the current global monetary policy and discuss if this type of currency phenomena was a direct result while also examining the potential risk and rewards for investors and the economy.