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Articles 1 - 16 of 16
Full-Text Articles in Business
The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring
The Volatility Implications Of The Chinese Cryptocurrency Ban, Keaton Manwaring
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this paper, I examine the effect of the May 18th, 2021 Chinese ban of cryptocurrency transactions on the overall volatility of the cryptocurrency market. To do this, I analyze, in both univariate and multivariate settings, range-based volatility in various event windows surrounding the event. I find clear economic and statistical change in volatility in the five days after the ban. In the ten-day period after the ban, there is a moderate economic change in volatility. In the forty-day period after the ban, there is little economic change in volatility. I conclude that the Chinese ban had a …
A Reexamination Of The Illiquidity Premium In Cryptocurrencies, Wyatt Fitz
A Reexamination Of The Illiquidity Premium In Cryptocurrencies, Wyatt Fitz
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this study, I examine the illiquidity premium amongst the 372 most actively traded cryptocurrencies from September 2014 to May 2021. I find that the average returns on the most illiquid cryptocurrencies are larger than those on the most liquid cryptocurrencies. My results are robust to different weighting mechanisms for the market index and to various asset pricing model specifications. These results suggest that an investor might be able to go long a portfolio of illiquid cryptocurrencies while simultaneously shorting a portfolio of liquid cryptocurrencies to effectively generate a positive risk-adjusted return.
Cross-Cryptocurrency Return Predictability, Li Guo, Bo Sang, Jun Tu, Yu Wang
Cross-Cryptocurrency Return Predictability, Li Guo, Bo Sang, Jun Tu, Yu Wang
Research Collection Lee Kong Chian School Of Business
Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are robust across various methods, including the adaptive LASSO and principal component analysis. Furthermore, a long-short portfolio formed on the past returns of cryptocurrencies can generate a daily return of 2.16% out-of-sample after accounting for transaction costs, indicating sizable economic value of cross-cryptocurrency return predictability.
Dynamic Spillovers Between The Term Structure Of Interest Rates, Bitcoin, And Safe-Haven Currencies, David Y. Aharon, Zaghum Umar, Xuan Vinh Vo
Dynamic Spillovers Between The Term Structure Of Interest Rates, Bitcoin, And Safe-Haven Currencies, David Y. Aharon, Zaghum Umar, Xuan Vinh Vo
All Works
This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of …
Making Money From Cryptocurrency? The Taxman May Call On You, Hern Kuan Liu, Vincent Ooi
Making Money From Cryptocurrency? The Taxman May Call On You, Hern Kuan Liu, Vincent Ooi
Research Collection Yong Pung How School Of Law
Miners, forgers, hobbyists, traders – different rules apply. Just don’t assume crypto investment is somehow immune to taxation.
Asia Embraces Digital Currency And Cryptocurrency, David Kuo Chen Lee
Asia Embraces Digital Currency And Cryptocurrency, David Kuo Chen Lee
Asian Management Insights
A decade ago, everyone was sceptical about cryptocurrency. Today, Asian governments are harnessing its technology to raise payment efficiency and improve financial inclusion. Initially, the technology was advocated and harnessed by ‘cypherpunks’, that is, individuals who advocate the use of cryptography and other strong encryption technologies to promote social and political change. At that time, being a cypherpunk meant standing on the opposite side of the government; today, I see cypherpunks, otherwise more appropriately known as cryptopunks, working closely with governments.
Fall/Winter 2021
Business Exchange
Flexibility Is Our New Norm; $8 Million Bequest Supports Student Scholarships; Women in Entrepreneurship Institute Partnership Supports Business Founders of Color; College Named a Bloomberg Experiential Learning Partner; MacArthur Foundation Grant Supports Housing Research; Navigating the New Workplace Norms; Professor Introduces Students to Fintech Innovations; Accounting Graduate Brews Coffee Business with Soul
Bitcoin As A Viable Alternative To Legacy Reserve Assets: Reasons, Risks, And Adoption, Jeffry Blake Dunson Ii
Bitcoin As A Viable Alternative To Legacy Reserve Assets: Reasons, Risks, And Adoption, Jeffry Blake Dunson Ii
Senior Honors Theses
Reserve assets include commodities, currencies, or other capital held by institutions as a hedge against the fluctuations of external factors. While the United States’ rise to power helped establish the US dollar as the most predominant reserve asset of the past fifty years, current events & the fast pace of technological advancement has exposed some limitations in the system. Blockchain technology has allowed for assets with cryptographically verifiable integrity that fundamentally depart from the US dollar standard and has potential to overhaul reserve assets as we know it. The course of this research details the downsides of legacy reserve assets, …
Bitcoin: The Pioneer Of Cryptocurrency With A Limited Dream, Anna M. Gellerman, Benjamin Zheng
Bitcoin: The Pioneer Of Cryptocurrency With A Limited Dream, Anna M. Gellerman, Benjamin Zheng
Publications and Research
BitCoin is the most well known and adaptable cryptocurrency today. Due to the evolvement of the cryptocurrency market, many are thinking what this could mean for society; is the world ready for a new mainstream medium of exchange? This poster argues that although BitCoin is functional for small scale payments, it is inadaptable to become a payment tool comparable to cash and card.
A Separate Asset Class For Cryptocurrency, Wayne Allen Durr
A Separate Asset Class For Cryptocurrency, Wayne Allen Durr
Doctoral Dissertations and Projects
The purpose of this qualitative study was to research the need for a separate asset class for cryptocurrency. The researcher found a lack of research on this topic and conducted research that provides more information on the topic than is currently in existence. The researcher examined the effects of classification and lack of classification of cryptocurrency as an asset class. This research provided a greater understanding of how cryptocurrency is working without a separate asset classification and added to the current research on the topic. The researcher interviewed multiple people, all with various forms of involvement with cryptocurrency. The interview …
The Budding Disruption Of Blockchain Technology Upon The Current Structure Of The Music Industry, Bradley Rauman
The Budding Disruption Of Blockchain Technology Upon The Current Structure Of The Music Industry, Bradley Rauman
Senior Theses
One of the most pertinent opportunities within the music industry, and many other industries as well, stems from the use of blockchain technology. Blockchain’s core technology, which enables smart contracts and non-fungible tokens (NFTs), could be used to restructure and decentralize the music industry to be in alignment with the best interests of artists - the individuals responsible for driving the success of this industry.
The current system is outmoded. It evinces a disparity in the level of information held by artists and intermediaries (i.e. labels, publishers, and streaming services) and this disparity enables intermediaries to deduct egregious fees that …
Traceable Monero: Anonymous Cryptocurrency With Enhanced Accountability, Yannan Li, Guomin Yang, Wily Susilo, Yong Yu, Man Ho Au, Dongxi Liu
Traceable Monero: Anonymous Cryptocurrency With Enhanced Accountability, Yannan Li, Guomin Yang, Wily Susilo, Yong Yu, Man Ho Au, Dongxi Liu
Research Collection School Of Computing and Information Systems
Monero provides a high level of anonymity for both users and their transactions. However, many criminal activities might be committed with the protection of anonymity in cryptocurrency transactions. Thus, user accountability (or traceability) is also important in Monero transactions, which is unfortunately lacking in the current literature. In this paper, we fill this gap by introducing a new cryptocurrency named Traceable Monero to balance the user anonymity and accountability. Our framework relies on a tracing authority, but is optimistic, in that it is only involved when investigations in certain transactions are required. We formalize the system model and security model …
What Tesla’S $1.5 Billion Bet On Bitcoin Means For Crypto Legitimacy, Singapore Management University
What Tesla’S $1.5 Billion Bet On Bitcoin Means For Crypto Legitimacy, Singapore Management University
Perspectives@SMU
Some significant issues need to be resolved before Tesla can accept Bitcoin as a legitimate method of payment, says UNSW Business School's Mark Humphery-Jenner
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on …
Blockchain Technology And Its Applications Across Multiple Domains: A Survey, Wajde Baiod, Janet Light, Aniket Mahanti
Blockchain Technology And Its Applications Across Multiple Domains: A Survey, Wajde Baiod, Janet Light, Aniket Mahanti
Journal of International Technology and Information Management
Blockchain technology has become an active area of research and a technological option for many businesses and industrial communities. With its distributed, decentralized, and trustless nature, blockchain can provide businesses with new opportunities and benefits through increased efficiency, reduced costs, enhanced integrity and transparency, better security, and improved traceability. Although blockchain’s largest applications have been in the finance and banking sector, we now see experiments and proposed applications in different fields. This paper provides an overview of blockchain technology; it brings together all the key design features, characteristics, and benefits of blockchain that make it a superior and unique technology, …
Measurement Study Of Energy Impact On Blockchain Technologies: Cryptocurrency Mining, Qaylin Holliman
Measurement Study Of Energy Impact On Blockchain Technologies: Cryptocurrency Mining, Qaylin Holliman
Cybersecurity: Deep Learning Driven Cybersecurity Research in a Multidisciplinary Environment
Blockchain technology facilitates the flow of information and the speed of information through a faster and more decentralized network. It has its advantages as compared to more centralized networks and legacy networks. With the evolution of mainstream technology, blockchains is predicted to be more effective and sufficient to consumers and commercial companies. In this paper, blockchains will be scaled to cryptocurrency mining, where cryptocurrencies utilize blockchain technology to record transactions and orders. Mining will also be examined through energy consumption, the algorithms behind some cryptocurrencies, their sustainability issue, and resolutions to combat high energy consumption. While the pace of energy …