TY - JOUR
T1 - Changes in the market structure and risk management of Bitcoin and its forked coins
AU - Kong, Xiaolin
AU - Ma, Chaoqun
AU - Ren, Yi-Shuai
AU - Narayan, Seema
AU - Nguyen, Thong Trung
AU - Baltas, Konstantinos
N1 - Funding Information:
This research is supported by the National Natural Science Foundation of China (No. 71850012 , 72104075 ), the National Social Science Fund of China (No. 19AZD014 ), the Natural Science Foundation of Hunan Province (No. 2022JJ40106 ), the Major Special Projects of the Department of Science and Technology of Hunan Province (No. 2018GK1020 ), and Hunan University Youth Talent Program.
Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/4
Y1 - 2023/4
N2 - Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin's linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin's return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities.
AB - Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin's linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin's return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities.
KW - Bitcoin
KW - Blockchain
KW - Financial risk
KW - Forked coin
KW - Hierarchical clustering algorithm
KW - Market structure
UR - https://www.scopus.com/pages/publications/85150763866
U2 - 10.1016/j.ribaf.2023.101930
DO - 10.1016/j.ribaf.2023.101930
M3 - Article
AN - SCOPUS:85150763866
SN - 0275-5319
VL - 65
JO - Research in International Business and Finance
JF - Research in International Business and Finance
M1 - 101930
ER -