Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Narayan, Seema and Nguyen, Thong Trung and Baltas, Konstantinos (2023) Changes in the market structure and risk management of Bitcoin and its forked coins. Research in International Business and Finance, 65. p. 101930. DOI https://doi.org/10.1016/j.ribaf.2023.101930
Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Narayan, Seema and Nguyen, Thong Trung and Baltas, Konstantinos (2023) Changes in the market structure and risk management of Bitcoin and its forked coins. Research in International Business and Finance, 65. p. 101930. DOI https://doi.org/10.1016/j.ribaf.2023.101930
Kong, Xiaolin and Ma, Chaoqun and Ren, Yi-Shuai and Narayan, Seema and Nguyen, Thong Trung and Baltas, Konstantinos (2023) Changes in the market structure and risk management of Bitcoin and its forked coins. Research in International Business and Finance, 65. p. 101930. DOI https://doi.org/10.1016/j.ribaf.2023.101930
Abstract
Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin’s return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Bitcoin; Forked coin; Market structure; Financial risk; Hierarchical clustering algorithm; Blockchain |
| Divisions: | Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 17 May 2023 09:26 |
| Last Modified: | 17 May 2023 09:26 |
| URI: | http://repository.essex.ac.uk/id/eprint/35636 |
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Filename: Changes in the market structure and risk management of Bitcoin and its forked coins_Accepted Version.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 4.0
Embargo Date: 21 September 2024