Cryptocurrency Research Conference 2021
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Cryptocurrency Research Conference 2021
AGENDA
Thursday 16th September
09:30-09:45 Welcome and Opening Remarks
09:45-10:15 SAI Sponsor Presentation
10:15-11:45 Parallel Session A
A1: Sentiment & Uncertainty
A2: Covid-19
A3: Volatility I
11:45-12:00 Break
12:00-13:30 Parallel Session B
B1: Co-Movement & Correlation
B2: Bubbles & Crashes
B3: Risk
13:30-14:00 Break
14:00-15:00 Keynote 1: Professor Campbell Harvey
15:00-16:30 Parallel Session C
C1: Mining & Blockchain
C2: Cryptos & Other Assets
C3: Stablecoins & Theory
Friday 17th September
10:00-11:30 Parallel Session D
D1: Tokens & CBDCs
D2: Factors & Data
D3: Tail Risk & Jumps
11:30-11:45 Break
11:45-12:45 Keynote 2: Professor Carol Alexander
12:45-13:30 Break
13:30-15:00 Parallel Session E
E1: Volatility II
E2: Fintech
E3: Returns
15:00-16:30 Panel Discussion (Professor Brian Lucey, Professor Sofia Johan, Professor John W. Goodell) and
Prizes
End of the Event
Register here:
https://cryptorc.org/
KEYNOTE SPEAKERS
Carol Alexander
Professor of Finance at Sussex University, UK and Co-Editor of the Journal of
Banking and Finance, and a Visiting Professor at Peking University HSBC Business
School. She publishes widely on a broad range of topics, including: volatility theory;
option pricing and hedging; trading volatility; hedging with futures; alternative
investments; random orthogonal matrix simulation; game theory and real options.
She has written and edited numerous books in mathematics and finance and
published extensively in top-ranked international journals. Her four-volume
textbook on Market Risk Analysis (Wileys, 2008) is the definitive guide to the
subject. Her latest interests focus on Blockchain and Cryptocurrencies and her
recent edited book (with Douglas Cumming, FAU -- Wileys, May 2020) has over
600 pages about Corruption and Fraud in Financial Markets. (Learn more)
Campbell R Harvey
Professor of Finance at Duke University in Durham, North Carolina and a
Research Associate of the National Bureau of Economic Research in Cambridge,
Massachusetts. He served as President of the American Finance Association in
2016 and as Editor of the Journal of Finance from 2006-2021. Harvey has also been
a visiting scholar at the Board of Governors of the Federal Reserve System. He
has published over 150 scholarly articles on topics spanning investment finance,
emerging markets, corporate finance, behavioural finance, financial econometrics
and computer science. He was recently named 2020 Quant of the Year by the
Journal of Portfolio Management and #1 Global Top Voice for finance and the
economy by LinkedIn. Over the past seven years, Professor Harvey has taught
Innovation and Cryptoventures which focuses on decentralized finance and
blockchain technology. His book DeFi and the Future of Finance will be published
by John Wiley and Sons in 2021. (Learn more)CONFERENCE PROGRAMME
Thursday 16th of September
BST (GMT +1)
09:30-09:45 Welcome and Opening Remarks
09:45-10:15 SAI Sponsor Presentation
10:15-11:45 Parallel Session A
A1: Sentiment & Uncertainty | Chair: David Tercero-Lucas
What Uncertainties Matter to Cryptocurrencies?
Imtiaz Sifat, Monash University, Malaysia
Investor Sentiment and Herding in the Cryptocurrency Market
Boxiang Jia, Tianjin University; Nathan Joseph, Aston University; Jia Liu, University of
Portsmouth; Dehua Shen, Tianjin University
Asymmetric Impact of Bitcoin Sentiments on Sectoral Stock Returns
Suresh Kumar Oad Rajput; Ishfaque Ahmed Soomro; Nadia Anjum, Sukkur IBA University
Distrust or speculation? The socioeconomic drivers of U.S. cryptocurrency investments
David Tercero-Lucas, Universitat Autònoma de Barcelona; Raphael Auer, Bank of International
Settlements
A2: Covid-19 | Chair: Damian Zięba
COVID-19 pandemic and Bitcoin return predictability
Janesh Sami, The University of the South Pacific
High-frequency connectedness between Bitcoin and other top-traded crypto assets
during the COVID-19 crisis
Paraskevi Katsiampa, University of Sheffield; Larisa Yarovaya, University of Southampton;
Damian Zięba, University of Warsaw
The Diversification Benefits of Cryptocurrency Asset Categories and Estimation Risk:
Pre and Post Covid-19
Xinyu Huang, University of Bath; Weihao Han, University of Bath; David Newton, University of
Bath; Emmanouil Platanakis, University of Bath; Dimitrios Stafylas, University of York; Charles
Sutcliffe, University of Reading
A3: Volatility I | Chair: Lai Hoang
Return and volatility spillovers between cryptocurrencies and graphics cards makers
Panayiotis Papakyriakou, University of Southampton; Anastasia Kopita, University of Warwick
Forecasting and trading Bitcoin: Evidence from advanced machine learning techniques
and hybrid volatility/sentiment leverage
Mingzhe Wei; Georgios Sermpinis; Charalampos Stasinakis - University of Glasgow
Effects of bitcoin exchange reserves on bitcoin returns and volatility
Lai Hoang, University of Western Australia; Dirk Baur, University of Western Australia
11:45-12:00 Break12:00-13:30 Parallel Session B
B1: Co-Movement & Correlation | Chair: Konstantinos Gkillas
Peer Co-Movement in Crypto Markets
Gustavo Schwenkler, Santa Clara University Leavey School of Busines; H. Zheng, Boston
University
Time and Frequency Connectedness of Cryptocurrency, Stock, Currency, Energy, and
Precious Metals Markets
Efe C. Cagli, Dokuz Eylul; Pinar Evrim Mandaci, Dokuz Eylul University
Extreme correlation in cryptocurrency markets
Konstantinos Gkillas, University of Patras; Christoforos Konstantatos, University of Patras;
Vassilios Babalos, University of Peloponnese
B2: Bubbles & Crashes | Chair: Ahmed Elsayed
Interdependence, Contagion and Speculative Bubbles in Cryptocurrency Markets
Walter Bazan-Palomino, Fordham University New York
Co-crashes in cryptocurrency and equity markets: Not all uncertainties matter
Pen-Fei Dai, East China University of Science and Technology; John W. Goodell, Univesrity
of Akron; Toan Luu Duc Huynh, WHU - Otto Beisheim School of Management; Zhifeng Liu,
Hainan University
Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset
Rotation?
Ahmed Elsayed, Durham University; Md Shahedur Chowdhury, Arkansas Tech University;
Damian S. Damianov, Durham University
B3: Risk | Chair: Larisa Yarovaya
Is downside risk priced in Cryptocurrency Market
Victoria Dobrynskaya, HSE University
Risk substitution in cryptocurrencies: Evidence from BRICS announcements
Stefano Piserà, University of Udine, Essex Business School; lan Alon, University of Adger;
Laura Chiaramonte, University of Version;Alberto Dreassi, University of Trieste; John Goodell,
University of Akron; Andrea Paltrinieri, Università Cattolica del Sacro Cuore
Systemic Risk Sharing Framework of Cryptocurrencies
Molla Ramizur Rahman, Indian Institute of Technology Kharagpur
13:30-14:00 Lunch Break14:00-15:00 Keynote 1: Professor Campbell Harvey
15:00-16:30 Parallel Session C
C1: Mining & Blockchain | Chair: Louis Bertucci
Bitcoin Blackout - Proof-of-Work and the Centralization of Mining
Stefan Scharnowski, University of Mannheim; Yanghua Shi, University of Mannheim
Is Blockchain Becoming More Centralized? Evidence on Collusion in the Ethereum
Blockchain
Xiaotong Sun, University of Glasgow
Economic Modelling of the Bitcoin Mining Industry
Louis Bertucci, Institut Louis Bachelier; Charles Bertucci, Ecole Polytechnique; Jean-Michel
Lasry, Université Paris-Dauphine; Pierre-Louis Lions, Collège de France
C2: Cryptos & Other Assets | Chair: Andrew Urquhart
Do cryptocurrencies and crude oil influence each other? Evidence from wavelet-based
quantile-in-quantile approach
Seyram Pearl Kumah, University of Skills Training and Entrepreneurial Development; Jones
Odei Mensa, University of the Witwatersrand
Analysis of the performance of the Islamic gold-backed cryptocurrency during the bear
market of 2020
Shaista Wasiuzzaman; Ayu Nadirah Muhd Azwan; Alina Nazurah Hj Nordin - Univeristi Teknologi
Brunei
Can clean energy stocks and green bonds hedge crypto environment attention index?
Javed Bin Kamal, East West University; M. Kabir Hassan, University of New Orleans
C3: Stablecoins & Theory | Chair: Cheng Suwan Long
Decentralized Stablecoins and Collateral Risk
Ganesh Viswanath-Natraj, Warwick Business School; Roman Kozhan, Warwick Business School
Prospect theory and cryptocurrency returns
Rongxin Chen; Gabriele Lepori; Chung-Ching Tai; Ming-Chien Sung - University of
Southampton
The Emotions of Stablecoins
Cheng (Suwan) Long, Trinity College Dublin; Brian Lucey, Trinity College DublinThursday 16th of September
BST (GMT +1)
10:00-11:30 Parallel Session D
D1: Tokens & CBDCs | Chair: Niranjan Sapkota
The personality digital valuation through personal tokens
Kamilla Marchewka-Bartkowiak; Michał Litwiński; Karolina Nowak - Poznan University of
Economics and Business
Central Bank Digital Currencies (CBDCs): From design features to issuance and
distribution
Hui Gong; Harry Thapar; Ann Thapar - University of Westminster
Fear Sells: Determinants of Fund-Raising Success in the cross-section of Initial Coin
Offerings
Niranjan Sapkota, University of Vassa; Klaus Grobys, University of Vassa
D2: Factors & Data | Chair: David Vidal-Tomas
Cryptocurrency Factor Portfolios: Performance, Decomposition and Pricing Models
Weihao Han, University of Bath; David Newton, University of Bath; Emmanouil Platanakis,
University of Bath; Charles Sutcliffe, University of Reading; Xiaoxia Ye, University of Liverpool
How Common are Return Factors in Cryptocurrencies and Equities?
Yulong Sun, University of Science and Technology of China; Guo Feng, Southern University of
Science and Technology
Which cryptocurrency data sources should scholars use?
David Vidal-Tomas, Universitat Jaume I
D3: Tail Risk & Jumps | Chair: Konstantin Häusler
Cryptocurrencies’ volume and market capitalization impact on tail risk
Christoforos Konstantatos, University of Patras; Konstantinos Gkillasa, University of Patras;
Vassilios Babalos, University of Peloponnese
On the Tail Risk of Cyberattacks in the Bitcoin Market
Klaus Grobys; Josephine Dufitinema; Niranjan Sapkota - University of Vaasa
Rodeo or Ascot: which hat to wear at the crypto race?
Konstantin Häusler, Humboldt-Universität zu Berlin; Wolfgang Karl Härdle, Humboldt-
Universität zu Berlin
11:30-11:45 Break
11:45-12:45 Keynote 2: Professor Carol Alexander
12:45-13:30 Lunch Break13:30-15:00 Parallel Session E
E1: Volatility II | Chair: Cumhur Ekinci
Dynamic selection of Gram-Charlier expansions with targets: An application to
cryptocurrencies
Maria Ines Jimenez, University of Salamanca; Andrés Mora-Valencia, Universidad de los Andes;
Javier Perote, University of Salamanca
On the volatility of cryptocurrencies
Theodoros Panagiotidis, University of Macedonia; Georgios Papapanagiotou, University of
Macedonia; Thanasis Stengos, University of Guelph
Prediction of intraday Bitcoin futures price trend via statistical and machine learning
techniques
Unsal Kiran, Istanbul Technical University; Cumhur Ekinci, Istanbul Technical University
E2: Fintech | Chair: Sean Foley
Born in Crisis: Early Impact of COVID-19 Pandemic on P2P Lending Market
Asror Nigmonov; Syed Shams; Khorshed Alam - University of Southern Queensland
Does One Size Fit All? Comparing the Determinants of the FinTech Market Segments
Expansion
Mikhail Stolbov, Moscow State Institute of International Relations; Maria Shchepeleva, National
Research University Higher School of Economics
MakerDao: Powering Shadow Finance 2.0
Sean Foley, Macquarie University; Angelo Aspris, University of Sydney; Jianlei Han, Macquarie
University; Zhao Xi, Macquarie University
E3: Returns | Chair: Andrew Urquhart
Intraday Herding and Attention Around the Clock
Yanghua Shi, University of Mannheim; Stefan Scharnowski, University of Mannheim
Uncovering Retail Trading in Bitcoin: The Impact of COVID-19 Stimulus Checks
Peter Zimmerman, Federal Reserve Bank of Cleveland; Anantha Divakaruni, University of Bergen
Cryptocurrency Returns and Cryptocurrency Uncertainty: A Time-Frequency Analysis
Abdollah Ah Mand, Sunway University Business School
15:00-16:30 Panel Discussion (Professor Brian Lucey, Professor Sofia Johan, Professor John W. Goodell)
and Prizes
End of the ConferenceOUR SPONSORS
Sai - Founded in 2019, SAI is a global computing & JABES - The Journal of Asian Business and Economic
energy operator who empowers high-performance chips Studies (published by the University of Economics
with clean energy. Adhering to the corporate vision of Ho Chi Minh City) offers the fast-tracking process
“energy-driven computing, computing-driven future”, for the accepted papers in Cryptocurrency Research
SAI’s mission is to enable everyone to use cleaner and Conference 2021.
more affordable computing power, electricity and
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