TY - JOUR
T1 - Threat of Intervention in Cryptocurrency Market
T2 - West Side Story of Bitcoin and Ripple
AU - Aysan, Ahmet Faruk
AU - Khan, Asad ul Islam
AU - Isac, Nicoleta
AU - Drammeh, Ousman
AU - Ozcan, Rasim
PY - 2023/12
Y1 - 2023/12
N2 - This study examines the impact of intervention threats on the price and volume volatility of Bitcoin and XRP. Using the Threshold or GJR-GARCH model, we analyse the relationship between news shocks (representing intervention threats) and the volatilities of Bitcoin and XRP price and volume returns, based on data from January 2014 to April 2021. The results indicate a significant association between news shocks and Bitcoin's price volatility, suggesting that intervention -related news events have a notable impact. However, the relationship between news shocks and XRP's price volatility is insignificant. Notably, XRP's volume returns demonstrate a positive and significant relationship with news shocks, while Bitcoin's volume returns do not exhibit a significant relationship. Additionally, past shocks and conditional variance shocks significantly contribute to the volatility of today's price or volume returns. These findings suggest that Ripple (XRP) may benefit from the implicit threat of intervention, strategically managing its availability to control price surges.
AB - This study examines the impact of intervention threats on the price and volume volatility of Bitcoin and XRP. Using the Threshold or GJR-GARCH model, we analyse the relationship between news shocks (representing intervention threats) and the volatilities of Bitcoin and XRP price and volume returns, based on data from January 2014 to April 2021. The results indicate a significant association between news shocks and Bitcoin's price volatility, suggesting that intervention -related news events have a notable impact. However, the relationship between news shocks and XRP's price volatility is insignificant. Notably, XRP's volume returns demonstrate a positive and significant relationship with news shocks, while Bitcoin's volume returns do not exhibit a significant relationship. Additionally, past shocks and conditional variance shocks significantly contribute to the volatility of today's price or volume returns. These findings suggest that Ripple (XRP) may benefit from the implicit threat of intervention, strategically managing its availability to control price surges.
KW - Bitcoin
KW - Gjr-garch
KW - Xrp
KW - Cryptocurrency
KW - The threat of intervention
UR - https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=hbku_researchportal&SrcAuth=WosAPI&KeyUT=WOS:001150158300018&DestLinkType=FullRecord&DestApp=WOS_CPL
U2 - 10.24818/18423264/57.4.23.03
DO - 10.24818/18423264/57.4.23.03
M3 - Article
SN - 0424-267X
VL - 57
SP - 41
EP - 56
JO - Economic Computation and Economic Cybernetics Studies and Research
JF - Economic Computation and Economic Cybernetics Studies and Research
IS - 4
ER -