澳門大學工商管理學院金融科技學術沙龍論壇
UM FBA FinTech Academic Salon Forum
Seminar Talk – 006
Financialization in the Cryptocurrency Market
Prof. Endong YANG
Assistant Professor in Finance
Date: 03 May 2023(Wednesday)
Time: 1:00-2:00 p.m.
Venue: E22 FBA Lobby
Moderator: Prof. Rachel Xiaorong MA, Assistant Professor of Finance
Abstract
In this study, we examine the financialization of cryptocurrency market. We find that the returns of cryptocurrency market have become significantly more correlated with the stock market, following the introduction of Bitcoin futures in 2017. The return correlation structure change is robust to different types of cryptocurrency and stock market returns, and is not driven only by large coins such as Bitcoin. We find that after financialization, cryptocurrencies become more correlated among themselves, and individual coins exhibit more negative daily return autocorrelations. Further analysis reveals the changes of macroeconomic indicators in determining the prices of cryptocurrencies.
Speaker
Dr. Endong Yang joined the University of Macau as an Assistant Professor in Finance in 2019, after receiving his PhD degree in Finance from Nanyang Technological University (NTU). He obtained the Bachelor of Science degree in Mathematics with a specialization in Statistics from NTU in 2013. His research interests include empirical corporate finance, corporate social responsibility, ESG, and Chinese economy. His work has been published by the Management Science.
All are welcome!
