Betting on Bitcoin: does gambling volume on the blockchain explain Bitcoin price changes? (English) Zbl 1442.91016
Summary: We measure lottery appetite using historical gaming transaction data of Bitcoin holders. Changes in the volume spent on the most lottery-like gambling wallet explain 32% of variation in the returns to the BTC price pre-2016, but this effect disappears post-2016.
References:
| [1] | Bali, T. G.; Cakici, N.; Whitelaw, R. F., Maxing out: Stocks as lotteries and the cross-section of expected returns, J. Financ. Econ., 99, 2, 427-446 (2011) |
| [2] | Baur, D. G.; Hong, K.; Lee, A. D., Bitcoin: Medium of exchange or speculative assets?, J. Int. Financ. Mark. Inst. Money, 54, 177-189 (2018) |
| [3] | Brunnermeier, M. K.; Nagel, S., Do wealth fluctuations generate time-varying risk aversion: micro-evidence on individuals, Amer. Econ. Rev., 98, 3, 713-736 (2008) |
| [4] | Cohn, A.; Engelmann, J.; Fehr, E.; Marechal, M. A., Evidence for countercyclical risk aversion: An experiment with financial professionals, Amer. Econ. Rev., 105, 2, 860-885 (2015) |
| [5] | Foley, S.; Karlsen, J. R.; Putniņš, T. J., Sex, drugs, and bitcoin: how much illegal activity is financed through cryptocurrencies?, Rev. Financ. Stud., 32, 5, 1798-1853 (2019) |
| [6] | Guiso, L.; Sapienza, P.; Zingales, L., Time varying risk aversion, J. Financ. Econ., 128, 3, 403-421 (2018) |
| [7] | Ilmanen, A., Do financial markets reward buying or selling insurance and lottery tickets?, Financ. Anal. J., 68, 5, 26-36 (2012) |
| [8] | McGee, R. J.; Johnson, J. E., Everyone’s a winner: The market impact of technologically advantaged agents, Econom. Lett., 156, 95-98 (2017) |
| [9] | McGee, R. J.; Olmo, J., The size premium as a lottery, Eur. J. Financ. (2019), (forthcoming) |
| [10] | Ottaviani, M.; Sørensen, P. N., The favorite-longshot bias: An overview of the main explanations, (HandBook of Sports and Lottery Markets (2008), Elsevier), 83-101 |
| [11] | Urquhart, A., The inefficiency of bitcoin, Econom. Lett., 148, 80-82 (2016) |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
