IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v62y2019icp182-199.html
   My bibliography  Save this article

Cryptocurrencies as a financial asset: A systematic analysis

Author

Listed:
  • Corbet, Shaen
  • Lucey, Brian
  • Urquhart, Andrew
  • Yarovaya, Larisa

Abstract

This paper provides a systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009. Despite astonishing price appreciation in recent years, cryptocurrencies have been subjected to accusations of pricing bubbles central to the trilemma that exists between regulatory oversight, the potential for illicit use through its anonymity within a young under-developed exchange system, and infrastructural breaches influenced by the growth of cybercriminality. Each influences the perception of the role of cryptocurrencies as a credible investment asset class and legitimate of value.

Suggested Citation

  • Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
  • Handle: RePEc:eee:finana:v:62:y:2019:i:c:p:182-199
    DOI: 10.1016/j.irfa.2018.09.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057521918305271
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1043-1078, November.
    2. Shaen Corbet & Cian Twomey, 2014. "An index of financial market stress for the United Kingdom," Economics and Business Letters, Oviedo University Press, vol. 3(2), pages 127-133.
    3. repec:eee:eneeco:v:74:y:2018:i:c:p:787-801 is not listed on IDEAS
    4. repec:eee:finlet:v:25:y:2018:i:c:p:103-110 is not listed on IDEAS
    5. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
    6. Elie Bouri & Rangan Gupta & David Roubaud, 2018. "Herding Behaviour in the Cryptocurrency Market," Working Papers 201834, University of Pretoria, Department of Economics.
    7. repec:eee:ecolet:v:164:y:2018:i:c:p:109-111 is not listed on IDEAS
    8. repec:eee:finlet:v:16:y:2016:i:c:p:85-92 is not listed on IDEAS
    9. Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
    10. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    11. repec:eee:phsmap:v:484:y:2017:i:c:p:82-90 is not listed on IDEAS
    12. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
    13. repec:eee:ecolet:v:159:y:2017:i:c:p:145-148 is not listed on IDEAS
    14. Rainer Böhme & Nicolas Christin & Benjamin Edelman & Tyler Moore, 2015. "Bitcoin: Economics, Technology, and Governance," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 213-238, Spring.
    15. repec:eee:ecolet:v:163:y:2018:i:c:p:106-109 is not listed on IDEAS
    16. Ciaian, Pavel & Rajcaniova, Miroslava & Kancs, d'Artis, 2018. "Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 173-195.
    17. repec:eee:ecolet:v:167:y:2018:i:c:p:18-25 is not listed on IDEAS
    18. repec:eee:quaeco:v:70:y:2018:i:c:p:203-213 is not listed on IDEAS
    19. Nicolas Houy, 2014. "It will cost you nothing to "kill" a proof-of-stake crypto-currency," Economics Bulletin, AccessEcon, vol. 34(2), pages 1038-1044.
    20. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
    21. repec:eee:finlet:v:26:y:2018:i:c:p:145-149 is not listed on IDEAS
    22. repec:eee:finlet:v:27:y:2018:i:c:p:223-227 is not listed on IDEAS
    23. Utpal Bhattacharya, 2008. "The Causes and Consequences of Recent Financial Market Bubbles: An Introduction," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 3-10, January.
    24. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
    25. Selgin, George, 2015. "Synthetic commodity money," Journal of Financial Stability, Elsevier, vol. 17(C), pages 92-99.
    26. Jamal Bouoiyour & Refk Selmi, 2015. "What Does Bitcoin Look Like?," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 449-492, November.
    27. repec:eee:quaeco:v:66:y:2017:i:c:p:50-56 is not listed on IDEAS
    28. Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
    29. Bouri, Elie & Gupta, Rangan & Tiwari, Aviral Kumar & Roubaud, David, 2017. "Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions," Finance Research Letters, Elsevier, vol. 23(C), pages 87-95.
    30. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    31. Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
    32. Balcilar, Mehmet & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2017. "Can volume predict Bitcoin returns and volatility? A quantiles-based approach," Economic Modelling, Elsevier, vol. 64(C), pages 74-81.
    33. Adrian (Wai-Kong) Cheung & Eduardo Roca & Jen-Je Su, 2015. "Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2348-2358, May.
    34. Lagoarde-Segot, Thomas, 2015. "Diversifying finance research: From financialization to sustainability," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 1-6.
    35. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    36. Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
    37. Pieters, Gina & Vivanco, Sofia, 2017. "Financial regulations and price inconsistencies across Bitcoin markets," Information Economics and Policy, Elsevier, vol. 39(C), pages 1-14.
    38. repec:eee:phsmap:v:492:y:2018:i:c:p:948-955 is not listed on IDEAS
    39. repec:eee:finana:v:52:y:2017:i:c:p:292-308 is not listed on IDEAS
    40. repec:eee:jrpoli:v:57:y:2018:i:c:p:224-235 is not listed on IDEAS
    41. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    42. Thomas Lagoarde-Segot, 2015. "Diversifying finance research: From financialization to sustainability," Post-Print hal-01456136, HAL.
    43. repec:eee:ecolet:v:166:y:2018:i:c:p:40-44 is not listed on IDEAS
    44. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    45. Fry, John & Cheah, Eng-Tuck, 2016. "Negative bubbles and shocks in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 343-352.
    46. repec:eee:ecolet:v:171:y:2018:i:c:p:93-96 is not listed on IDEAS
    47. repec:eee:ecolet:v:171:y:2018:i:c:p:225-229 is not listed on IDEAS
    48. Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
    49. Selmi, Refk & Mensi, Walid & Hammoudeh, Shawkat & Bouoiyour, Jamal, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Energy Economics, Elsevier, vol. 74(C), pages 787-801.
    50. repec:eee:moneco:v:95:y:2018:i:c:p:86-96 is not listed on IDEAS
    51. Blanchard, Olivier Jean, 1979. "Speculative bubbles, crashes and rational expectations," Economics Letters, Elsevier, vol. 3(4), pages 387-389.
    52. Dyhrberg, Anne Haubo, 2016. "Hedging capabilities of bitcoin. Is it the virtual gold?," Finance Research Letters, Elsevier, vol. 16(C), pages 139-144.
    53. repec:eee:ecolet:v:165:y:2018:i:c:p:58-61 is not listed on IDEAS
    54. repec:eee:ecolet:v:167:y:2018:i:c:p:81-85 is not listed on IDEAS
    55. Ji, Qiang & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2018. "Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 203-213.
    56. repec:eee:riibaf:v:43:y:2018:i:c:p:15-21 is not listed on IDEAS
    57. repec:eee:ecolet:v:172:y:2018:i:c:p:23-27 is not listed on IDEAS
    58. repec:eee:ecolet:v:172:y:2018:i:c:p:5-7 is not listed on IDEAS
    59. Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
    60. Bouri, Elie & Gupta, Rangan & Lahiani, Amine & Shahbaz, Muhammad, 2018. "Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices," Resources Policy, Elsevier, vol. 57(C), pages 224-235.
    61. repec:eee:ecolet:v:167:y:2018:i:c:p:26-28 is not listed on IDEAS
    62. repec:eee:intfin:v:54:y:2018:i:c:p:177-189 is not listed on IDEAS
    63. repec:eee:joaced:v:39:y:2017:i:c:p:48-54 is not listed on IDEAS
    64. Shaen Corbet, 2014. "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 217-230.
    65. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    66. repec:eee:riibaf:v:41:y:2017:i:c:p:493-499 is not listed on IDEAS
    67. repec:eee:finana:v:55:y:2018:i:c:p:35-49 is not listed on IDEAS
    68. Cheah, Eng-Tuck & Fry, John, 2015. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin," Economics Letters, Elsevier, vol. 130(C), pages 32-36.
    69. repec:eee:ecolet:v:171:y:2018:i:c:p:140-143 is not listed on IDEAS
    70. Tiwari, Aviral Kumar & Jana, R.K. & Das, Debojyoti & Roubaud, David, 2018. "Informational efficiency of Bitcoin—An extension," Economics Letters, Elsevier, vol. 163(C), pages 106-109.
    71. repec:eee:ecolet:v:165:y:2018:i:c:p:28-34 is not listed on IDEAS
    72. repec:eee:ecolet:v:168:y:2018:i:c:p:21-24 is not listed on IDEAS
    73. repec:eee:ecolet:v:163:y:2018:i:c:p:6-9 is not listed on IDEAS
    74. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nektarios Aslanidis & Aurelio F. Bariviera & Oscar Martinez-Iba~nez, 2018. "An analysis of cryptocurrencies conditional cross correlations," Papers 1811.08365, arXiv.org, revised Feb 2019.
    2. repec:eee:ecolet:v:171:y:2018:i:c:p:93-96 is not listed on IDEAS
    3. repec:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155 is not listed on IDEAS

    More about this item

    Keywords

    Cryptocurrencies; Pricing bubbles; Regulation; Cybercriminality; Systematic literature review;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:62:y:2019:i:c:p:182-199. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.