Purpose

The purpose of this study is to investigate the correlation between the price return of leading cryptocurrencies, including Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, Peercoin and Dash, and stock return of technology companies' indices that mainly operate on the blockchain platform and provide financial services, including alternative finance, democratized banking, future payments and digital communities.

Design/methodology/approach

This study employs a Bayesian asymmetric dynamic conditional correlation multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (BADCC-MGARCH) model with skewness and heavy tails on daily sample ranging from August 11, 2015, to February 10, 2020, to investigate the dynamic correlation between price return of several cryptocurrencies and stock return of the technology companies' indices that mainly operate on the blockchain platform. Data are collected from multiple sources. For parameter estimation and model comparison, the Markov chain Monte Carlo (MCMC) algorithm is employed. Besides, based on the expected Akaike information criterion (EAIC), Bayesian information criterion (BIC), deviance information criterion (DIC) and weighted Deviance Information Criterion (wDIC), the skewed-multivariate Generalized Error Distribution (mvGED) is selected as an optimal distribution for errors. Finally, some other tests are carried out to check the robustness of the results.

Findings

The study results indicate that blockchain-based technology companies' indices' return and price return of cryptocurrencies are positively correlated for most of the sampling period. Besides, the return price of newly invented and more advanced cryptocurrencies with unique characteristics, including Monero, Ripple, Dash, Stellar and Peercoin, positively correlates with the return of stock indices of blockchain-based technology companies for more than 93% of sampling days. The results are also robust to various sensitivity analyses.

Research limitations/implications

The positive correlation between the price return of cryptocurrencies and the return of stock indices of blockchain-based technology companies can be due to the investors' sentiments toward blockchain technology as both cryptocurrencies and these companies are based on blockchain technology. It could also be due to the applicability of cryptocurrencies for these companies, as the price return of more advanced and capable cryptocurrencies with unique features has a positive correlation with the return of stock indices of blockchain-based technology companies for more days compared to the other cryptocurrencies, like Bitcoin, Litecoin and Ethereum, that may be regarded more as speculative assets.

Practical implications

The study results may show the positive role of cryptocurrencies in improving and developing technology companies that mainly operate on the blockchain platform and provide financial services and vice versa, suggesting that managers and regulators should pay more attention to the usefulness of cryptocurrencies and blockchains. This study also has important risk management and diversification implications for investors and companies investing in cryptocurrencies and these companies' stock. Besides, blockchain-based technology companies can add cryptocurrencies to their portfolio as hedgers or diversifiers based on their strategy.

Originality/value

This is the first study analyzing the connection between leading cryptocurrencies and technology companies that mainly operate on the blockchain platform and provide financial services by employing the Bayesian ssymmetric DCC-MGARCH model. The results also have important implications for investors, companies, regulators and researchers for future studies.

中文翻译：

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新兴数字经济公司和领先的加密货币：来自基于区块链的技术公司的见解

目的

本研究的目的是调查领先的加密货币，包括比特币、以太坊、瑞波币、莱特币、门罗币、恒星币、Peercoin 和 Dash 的价格回报与主要在区块链平台上运行的科技公司指数的股票回报之间的相关性。并提供金融服务，包括替代金融、民主化银行、未来支付和数字社区。

设计/方法/方法

本研究采用贝叶斯非对称动态条件相关多元广义自回归条件异方差 (GARCH) (BADCC-MGARCH) 模型，在 2015 年 8 月 11 日至 2020 年 2 月 10 日的日样本中具有偏度和重尾，研究几种加密货币的价格回报和主要在区块链平台上运行的科技公司指数的股票回报。数据是从多个来源收集的。对于参数估计和模型比较，采用马尔可夫链蒙特卡罗 (MCMC) 算法。此外，基于预期的赤池信息准则（EAIC）、贝叶斯信息准则（BIC）、偏差信息准则（DIC）和加权偏差信息准则（wDIC），偏态多元广义误差分布 (mvGED) 被选为误差的最佳分布。最后，进行了一些其他测试以检查结果的稳健性。

发现

研究结果表明，在大部分抽样期内，基于区块链的技术公司的指数回报与加密货币的价格回报呈正相关。此外，包括门罗币、瑞波币、达世币、Stellar 和 Peercoin 在内的新发明和更先进的具有独特特征的加密货币的回报价格与基于区块链技术公司的股票指数的回报呈正相关，超过 93% 的采样日。结果对各种敏感性分析也是稳健的。

研究限制/影响

加密货币的价格回报与基于区块链技术公司的股票指数回报之间的正相关可能是由于投资者对区块链技术的看法，因为加密货币和这些公司都是基于区块链技术的。这也可能是由于加密货币对这些公司的适用性，因为与其他公司相比，具有独特功能的更先进、更有能力的加密货币的价格回报与基于区块链的技术公司股票指数的回报呈正相关关系，持续时间更长加密货币，如比特币、莱特币和以太坊，可能更多地被视为投机资产。

实际影响

研究结果可能表明加密货币对改进和发展主要在区块链平台上运营并提供金融服务的科技公司具有积极作用，反之亦然，表明管理者和监管机构应更加关注加密货币和区块链的实用性。这项研究还对投资于加密货币和这些公司股票的投资者和公司具有重要的风险管理和多元化影响。此外，基于区块链的技术公司可以根据其策略将加密货币作为对冲者或多元化者添加到其投资组合中。

原创性/价值

这是第一项分析领先加密货币与主要在区块链平台上运营并通过采用贝叶斯对称 DCC-MGARCH 模型提供金融服务的技术公司之间的联系的研究。结果对投资者、公司、监管机构和研究人员的未来研究也具有重要意义。