Wang Sha, Vergne Jean-Philippe
Economics Department, Western University, London, Ontario, Canada.
Ivey Business School, Western University, London, Ontario, Canada.
PLoS One. 2017 Jan 13;12(1):e0169556. doi: 10.1371/journal.pone.0169556. eCollection 2017.
Cryptocurrencies have become increasingly popular since the introduction of bitcoin in 2009. In this paper, we identify factors associated with variations in cryptocurrencies' market values. In the past, researchers argued that the "buzz" surrounding cryptocurrencies in online media explained their price variations. But this observation obfuscates the notion that cryptocurrencies, unlike fiat currencies, are technologies entailing a true innovation potential. By using, for the first time, a unique measure of innovation potential, we find that the latter is in fact the most important factor associated with increases in cryptocurrency returns. By contrast, we find that the buzz surrounding cryptocurrencies is negatively associated with returns after controlling for a variety of factors, such as supply growth and liquidity. Also interesting is our finding that a cryptocurrency's association with fraudulent activity is not negatively associated with weekly returns-a result that further qualifies the media's influence on cryptocurrencies. Finally, we find that an increase in supply is positively associated with weekly returns. Taken together, our findings show that cryptocurrencies do not behave like traditional currencies or commodities-unlike what most prior research has assumed-and depict an industry that is much more mature, and much less speculative, than has been implied by previous accounts.
自2009年比特币问世以来，加密货币越来越受欢迎。在本文中，我们确定了与加密货币市值变化相关的因素。过去，研究人员认为在线媒体中围绕加密货币的“热议”解释了它们的价格变化。但这一观察结果模糊了这样一种观念，即与法定货币不同，加密货币是具有真正创新潜力的技术。通过首次使用一种独特的创新潜力衡量方法，我们发现后者实际上是与加密货币回报增加相关的最重要因素。相比之下，我们发现，在控制了各种因素（如供应增长和流动性）之后，围绕加密货币的热议与回报呈负相关。我们的另一个有趣发现是，一种加密货币与欺诈活动的关联与每周回报并无负相关——这一结果进一步限定了媒体对加密货币的影响。最后，我们发现供应增加与每周回报呈正相关。综合来看，我们的研究结果表明，加密货币的表现不同于传统货币或商品——这与大多数先前研究的假设不同——并且描绘了一个比以往描述所暗示的更加成熟、投机性更低的行业。
