Economic and Non-Economic Trading In Bitcoin: Exploring the Real Spot Market For The World’s First Digital Commodity

Matthew Hougan, Hong Kim, and Micah Lerner

Bitwise Asset Management

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May 24, 2019

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A Century of Global Stock Markets

Yale School of Management Working Paper No. F-55

44 Pages Posted: 6 Feb 1997

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Philippe Jorion

University of California, Irvine - Paul Merage School of Business

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: December 1996

Abstract

The expected return on equity capital is possibly the most important driving factor in asset allocation decisions. Yet, the long-term estimates we typically use are derived from U.S. data only. There are reasons to suspect, however, that these estimates of return on capital are subject to survivorship, as the United States is arguably the most successful capitalist system in the world; most other countries have been plagued by political upheaval, war, and financial crises. The purpose of this paper is to provide estimates of return on capital from long-term histories for world equity markets. By putting together a variety of sources, we collected a database of capital appreciation indexes for 39 markets with histories going back as far back as the l920s. Our results are striking. We find that the United States has by far the highest uninterrupted real rate of appreciation of all countries, at about 5 percent annually. For other countries, the median real appreciation rate is about 1.5 percent. The high return premium obtained for U.S. equities therefore appears to be the exception rather than the rule. Our global databases also allow us to reconstruct monthly real and dollar-valued capital appreciation indices for global markets, providing further evidence on the benefits of international diversification.

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Is Bitcoin Really Un-Tethered?

119 Pages Posted: 25 Jun 2018

John M. Griffin

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University of Texas at Austin - Department of Finance

Amin Shams

Ohio State University, Fisher College of Business

Date Written: October 28, 2019

Abstract

This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using algorithms to analyze blockchain data, we find that purchases with Tether are timed following market downturns and result in sizable increases in Bitcoin prices. The flow is attributable to one entity, clusters below round prices, induces asymmetric autocorrelations in Bitcoin, and suggests insufficient Tether reserves before month-ends. Rather than demand from cash investors, these patterns are most consistent with the supply-based hypothesis of unbacked digital money inflating cryptocurrency prices.

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Is the Chinese Anti-Corruption Campaign Authentic?

29th Annual Conference on Financial Economics & Accounting 2018

Finance Down Under 2019 Building on the Best from the Cellars of Finance

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Paris December 2018 Finance Meeting EUROFIDAI - AFFI

53 Pages Posted: 20 May 2016 Last revised: 20 Dec 2018

John M. Griffin

University of Texas at Austin - Department of Finance

Clark Liu

Tsinghua University - PBC School of Finance

Tao Shu

The Chinese University of Hong Kong, Shenzhen; Shenzhen Finance Institute

Date Written: December 19, 2018

Abstract

This paper examines whether the massive Chinese anti-corruption campaign is ensnaring corrupt firms, contains a political component, and is reducing corporate corruption. Consistent with the campaign’s stated objectives, Chinese firms with characteristics commonly associated with measures of poor governance, self-dealing, and inefficiencies are more likely to have executives investigated. However, affiliations with prominent investigated political leaders increase investigation likelihood and executives with connections to top current central leadership are less likely to be investigated, possibly indicating political favoritism. Over time, except for reported entertainment expenditures, there has been little overall decreases in measures of potential corporate corruption.

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A Lone Bitcoin Whale Likely Fueled 2017 Surge, Study Finds

By Matthew Leising and Matt Robinson

2019年11月4日 GMT+8 下午1:01 Updated on 2019年11月5日 GMT+8 上午10:35

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Academics update paper that alleges manipulation using Tether

Research paper is ‘foundationally flawed,’ Tether lawyer says

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Manipulation in the VIX?

58 Pages Posted: 24 May 2017

John M. Griffin

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University of Texas at Austin - Department of Finance

Amin Shams

Ohio State University, Fisher College of Business

Date Written: May 23, 2017

Abstract

At the settlement time of the VIX Volatility Index, volume spikes on S&P 500 Index (SPX) options, but only in out-of-the-money options that are used to calculate the VIX, and more so for options with a higher and discontinuous influence on VIX. We investigate alternative explanations of hedging and coordinated liquidity trading. Tests including those utilizing differences in put and call options, open interest around the settlement, and a similar volatility contract with an entirely different settlement procedure in Europe are inconsistent with these explanations but consistent with market manipulation. Large transient deviations in prices demonstrate the importance of settlement design.

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Bitcoin: What’s Coming in the Year Ahead

Bitcoin’s meteoric rise this year has attracted tons of attention, but most institutional investors are still watching from the sidelines, regulators have yet to issue comprehensive rules, and corporations are still mostly testing only blockchain technology. Whether bitcoin matures or crashes will largely depend on how these players' relationship with the cryptocurrency evolves.

Bitcoin, as you're about to see, could revolutionize finance, banking, commerce and more - the impact this technology could have on global society is just beginning to reveal itself.

We think you'll agree after watching "Why Bitcoin Matters" that the future of currency could be digital, open-source, finite, mathematics-based, and truly game changing.