{"title":"Facebook Libra对比特币波动性的可能影响:来自首次代币发行融资数据的证据","authors":"Chamil W. Senarathne","doi":"10.1515/mosr-2019-0006","DOIUrl":null,"url":null,"abstract":"Abstract This paper examines the impact of Libra on volatility of Bitcoin using the classical framework of C. G. Lamoureux and W. D. Lastrapes (1990). ARCH and GARCH effects disappear when lagged ICO funding size is included in the variance equation. A negative association between volatility and funding size and the disappearance of volatility persistence (long-term volatility effect) suggest that Libra, as a dominant new currency, is likely to stabilize the cryptocurrency market and enhance potential for currency diversification. Furthermore, it is revealed that the stability cannot be ensured merely by backing decentralized blockchain instruments, such as Bitcoin, with bank deposits, government securities or exchange rate.","PeriodicalId":177702,"journal":{"name":"Management of Organizations: Systematic Research","volume":"39 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Possible Impact of Facebook’s Libra on Volatility of Bitcoin: Evidence from Initial Coin Offer Funding Data\",\"authors\":\"Chamil W. Senarathne\",\"doi\":\"10.1515/mosr-2019-0006\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract This paper examines the impact of Libra on volatility of Bitcoin using the classical framework of C. G. Lamoureux and W. D. Lastrapes (1990). ARCH and GARCH effects disappear when lagged ICO funding size is included in the variance equation. A negative association between volatility and funding size and the disappearance of volatility persistence (long-term volatility effect) suggest that Libra, as a dominant new currency, is likely to stabilize the cryptocurrency market and enhance potential for currency diversification. Furthermore, it is revealed that the stability cannot be ensured merely by backing decentralized blockchain instruments, such as Bitcoin, with bank deposits, government securities or exchange rate.\",\"PeriodicalId\":177702,\"journal\":{\"name\":\"Management of Organizations: Systematic Research\",\"volume\":\"39 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Management of Organizations: Systematic Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/mosr-2019-0006\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Management of Organizations: Systematic Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/mosr-2019-0006","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
摘要
摘要本文采用C. G. Lamoureux和W. D. Lastrapes(1990)的经典框架，考察了Libra对比特币波动性的影响。当方差方程中包含滞后ICO融资规模时，ARCH和GARCH效应消失。波动性与资金规模之间的负相关关系以及波动性持久性(长期波动效应)的消失表明，Libra作为一种占主导地位的新货币，可能会稳定加密货币市场并增强货币多样化的潜力。此外，据透露，仅仅通过用银行存款、政府证券或汇率支持比特币等分散的区块链工具，无法确保稳定性。
Possible Impact of Facebook’s Libra on Volatility of Bitcoin: Evidence from Initial Coin Offer Funding Data
Abstract This paper examines the impact of Libra on volatility of Bitcoin using the classical framework of C. G. Lamoureux and W. D. Lastrapes (1990). ARCH and GARCH effects disappear when lagged ICO funding size is included in the variance equation. A negative association between volatility and funding size and the disappearance of volatility persistence (long-term volatility effect) suggest that Libra, as a dominant new currency, is likely to stabilize the cryptocurrency market and enhance potential for currency diversification. Furthermore, it is revealed that the stability cannot be ensured merely by backing decentralized blockchain instruments, such as Bitcoin, with bank deposits, government securities or exchange rate.
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