This paper studies the MAX effect, relationship between maximum daily returns and future in cryptocurrency market. The market is an ideal setting for effect due to its lottery-like features (i.e., large positive skewness). Contrary findings other markets, we demonstrate that cryptocurrencies with higher tend achieve call this “MAX momentum” effect. We also find magnitude of momentum varies cond...

Abstract This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze role cointegration relationships within large system vector error correction (VECM) framework. To enable analysis dynamic setting, propose COINtensity VECM, nonlinear VECM specification accounting for varying systemwide exposure. Our results show that are indeed cointeg...

Researchers put efforts into explanations of the momentum phenomenon and improvements strategy since emergence in 1993. Interested anomalies appearing as exhibited traditional asset markets, adequate studies are launched on nascent emergers last decade, cryptocurrency market. Recent have shown that there is hardly any cross-sectional To explore anomaly additionally market, this paper implemente...

Islam as a religion that is flexible, dynamic and adaptive to the times. However, this certainly has ethical limitations principle values ​​in Islamic teachings must be basis in every human activity, especially community activities or muamalah. Therefore, paper aims critically describe cryptocurrency investment economic principles.The method used scientific study approach with literature study,...

This study will investigate the liquidity spillover effects of five cryptocurrencies: Bitcoin, Ether, Binance-coin, Ripple, and Tether. Firstly, researcher utilizes Amihud illiquidity ratio to quantify performance currencies, which we treat as weekly for purposes our due data collecting constraints. Secondly, effect in cryptocurrency market over period 2017-2022, employs Diebold Yilmaz's index....

In this paper we initiate a quantitative study of the decentralization of the governance structures of Bitcoin and Ethereum. In particular, we scraped the open-source repositories associated with their respective codebases and improvement proposals to find the number of people contributing to the code itself and to the overall discussion. We then present different metrics to quantify decentrali...