Possible Impact of Facebook’s Libra on Volatility of Bitcoin: Evidence from Initial Coin Offer Funding Data
30 paź 2019
O artykule
Data publikacji: 30 paź 2019
Zakres stron: 87 - 100
Otrzymano: 27 cze 2019
Przyjęty: 14 sie 2019
DOI: https://doi.org/10.1515/mosr-2019-0006
Słowa kluczowe
© 2019 Chamil W. Senarathne, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
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.