The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-05-01 DOI:10.1186/s40854-023-00595-y

Muhammad Anas, Syed Jawad Hussain Shahzad, Larisa Yarovaya

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引用次数: 0

Abstract

As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrency literature that employs high-frequency data. We highlighted the most influential authors, articles, and journals based on 189 articles from the Scopus database from 2015 to 2022. This approach enables us to identify emerging trends and research hotspots with the aid of co-citation and cartographic analyses. It shows knowledge expansion through authors’ collaboration in cryptocurrency research with co-authorship analysis. We identify four major streams of research: (i) return prediction and measurement of cryptocurrency volatility, (ii) (in)efficiency of cryptocurrencies, (iii) price dynamics and bubbles in cryptocurrencies, and (iv) the diversification, safe haven, and hedging properties of Bitcoin. We conclude that highly traded cryptocurrencies’ investment features and economic outcomes are analyzed predominantly on a tick-by-tick basis. This study also provides recommendations for future studies.

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加密货币研究中高频数据的使用：文献元综述与文献计量分析

随着加密资产生态系统的成熟，高频数据的使用在去中心化金融文献中变得越来越普遍。通过文献计量分析，我们描述了采用高频数据的现有加密货币文献的特点。我们根据 Scopus 数据库中 2015 年至 2022 年的 189 篇文章，突出了最有影响力的作者、文章和期刊。这种方法使我们能够借助共引和制图分析来识别新兴趋势和研究热点。它通过合著分析展示了作者在加密货币研究中的合作所带来的知识扩展。我们确定了四个主要研究方向：(i) 回报预测和加密货币波动的测量，(ii) 加密货币的（不）效率，(iii) 加密货币的价格动态和泡沫，以及 (iv) 比特币的多样化、避风港和对冲属性。我们的结论是，对交易量大的加密货币的投资特征和经济结果的分析主要是以逐点为基础的。本研究还为今后的研究提供了建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

审稿时长

5 weeks

期刊介绍： Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.