Taking the unique advantage of the cryptocurrency market setting, this paper examines the relationships between blockchain participation and returns, trading volume and realized volatility of main cryptocurrencies (i.e., Bitcoin, Ethereum and Litecoin). Dissimilar to previous theoretical studies that model the influencing factors on participation, we employ the number of unique from addresses¹ as the proxy for cryptocurrency investors’ blockchain participation and further explore the impact of such participation. By using vector autoregressive (VAR) model, we find that the blockchain participation has a significant and positive impact on the next day’s trading volume and realized volatility for the main cryptocurrencies. Our results are robust to the Granger causality test and alternative measure for blockchain participation.

中文翻译：

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区块链参与如何影响加密货币市场？

本文利用加密货币市场环境的独特优势，研究了区块链参与与主要加密货币（即比特币、以太坊和莱特币）的回报、交易量和已实现波动性之间的关系。与以往对参与的影响因素进行建模的理论研究不同，我们使用来自地址^{1的唯一数}作为加密货币投资者区块链参与的代理，并进一步探索这种参与的影响。通过使用向量自回归 (VAR) 模型，我们发现区块链参与对主要加密货币的第二天交易量和实现的波动性具有显着和积极的影响。我们的结果对 Granger 因果检验和区块链参与的替代度量是稳健的。