{"title":"其他加密货币对比特币有影响吗？","authors":"J. Hossain, M. Ismail","doi":"10.21315/aamjaf2021.17.1.5","DOIUrl":null,"url":null,"abstract":"In recent years, cryptocurrency or virtual currency is becoming an essential medium of exchange in consumer and domestic trading. Nevertheless, the trading values of cryptocurrency compared to real money are very uncertain and can change dramatically. This article is aimed to assess the uncertainty or volatility of cryptocurrencies, mostly on Bitcoin. In the digital currencies market, Bitcoin is a widely accepted currency. Other digital currencies of the market may influence Bitcoin. For example, Ethereum, Litecoin, Zcash, Monero, Dash and Ripple have a positive impact on Bitcoin. Previous research only focuses on Bitcoin and other markets such as stock markets, energy markets, and exchange rates. However, here we focus on interlinkages and volatility dynamics within cryptocurrency markets by applying some econometrics models. In this article, we have shown that the relationship between Bitcoin and other currencies can be modelled in the ARCH, GARCH, VAR and MGARCH framework. Forecast values of the GARCH (3,3) model are given very close to the original data. VAR stability result shows that the model is stable. Using the CCC, VCC, and DCC of the MGARCH model on daily returns from 1st January 2017 to 15th March 2019, we found significant volatility and strong correlations between the variables.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Is There Any Influence of Other Cryptocurrencies on Bitcoin?\",\"authors\":\"J. Hossain, M. Ismail\",\"doi\":\"10.21315/aamjaf2021.17.1.5\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In recent years, cryptocurrency or virtual currency is becoming an essential medium of exchange in consumer and domestic trading. Nevertheless, the trading values of cryptocurrency compared to real money are very uncertain and can change dramatically. This article is aimed to assess the uncertainty or volatility of cryptocurrencies, mostly on Bitcoin. In the digital currencies market, Bitcoin is a widely accepted currency. Other digital currencies of the market may influence Bitcoin. For example, Ethereum, Litecoin, Zcash, Monero, Dash and Ripple have a positive impact on Bitcoin. Previous research only focuses on Bitcoin and other markets such as stock markets, energy markets, and exchange rates. However, here we focus on interlinkages and volatility dynamics within cryptocurrency markets by applying some econometrics models. In this article, we have shown that the relationship between Bitcoin and other currencies can be modelled in the ARCH, GARCH, VAR and MGARCH framework. Forecast values of the GARCH (3,3) model are given very close to the original data. VAR stability result shows that the model is stable. Using the CCC, VCC, and DCC of the MGARCH model on daily returns from 1st January 2017 to 15th March 2019, we found significant volatility and strong correlations between the variables.\",\"PeriodicalId\":44370,\"journal\":{\"name\":\"Asian Academy of Management Journal of Accounting and Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2021-06-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asian Academy of Management Journal of Accounting and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21315/aamjaf2021.17.1.5\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Academy of Management Journal of Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21315/aamjaf2021.17.1.5","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Is There Any Influence of Other Cryptocurrencies on Bitcoin?
In recent years, cryptocurrency or virtual currency is becoming an essential medium of exchange in consumer and domestic trading. Nevertheless, the trading values of cryptocurrency compared to real money are very uncertain and can change dramatically. This article is aimed to assess the uncertainty or volatility of cryptocurrencies, mostly on Bitcoin. In the digital currencies market, Bitcoin is a widely accepted currency. Other digital currencies of the market may influence Bitcoin. For example, Ethereum, Litecoin, Zcash, Monero, Dash and Ripple have a positive impact on Bitcoin. Previous research only focuses on Bitcoin and other markets such as stock markets, energy markets, and exchange rates. However, here we focus on interlinkages and volatility dynamics within cryptocurrency markets by applying some econometrics models. In this article, we have shown that the relationship between Bitcoin and other currencies can be modelled in the ARCH, GARCH, VAR and MGARCH framework. Forecast values of the GARCH (3,3) model are given very close to the original data. VAR stability result shows that the model is stable. Using the CCC, VCC, and DCC of the MGARCH model on daily returns from 1st January 2017 to 15th March 2019, we found significant volatility and strong correlations between the variables.
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To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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