Changes in the market structure and risk management of Bitcoin and its forked coins

Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 1...

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Published in:	Research in international business and finance Vol. 65; p. 101930
Main Authors:	Kong, Xiaolin, Ma, Chaoqun, Ren, Yi-Shuai, Narayan, Seema, Nguyen, Thong Trung, Baltas, Konstantinos
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.04.2023
Subjects:	Bitcoin Blockchain Financial risk Forked coin Hierarchical clustering algorithm Market structure Market structure Forked coin Hierarchical clustering algorithm Financial risk Bitcoin Blockchain
ISSN:	0275-5319
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Abstract	Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin’s return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities. [Display omitted] •This study examines the market structure of Bitcoin and its forked coins.•We use the bottom-up hierarchical clustering algorithm to divide Bitcoin and its forked coins into three clusters.•Although Bitcoin has a substantial effect on the returns of forked coins, it has no effect on their market structure.•We address how to avoid the potential financial dangers associated with forked coins.
AbstractList	Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on forked coins, this study employs a bottom-up hierarchical clustering algorithm to examine the logarithmic return series for Bitcoin and its 14 forked coins from 2018 to 2021. The results indicate that the market for forked coins can be divided into three clusters: SegWit-supported forked coins, mature forked coins, and the latest forked coins. Bitcoin and the mature forked coins form a cluster, and its performance is superior to others. Although Bitcoin’s return significantly affects that of its forked coins, it does not affect the market structure. Furthermore, this study provides references for risk aversion among investors in forked coins and presents macro-level information for cryptocurrency market authorities. [Display omitted] •This study examines the market structure of Bitcoin and its forked coins.•We use the bottom-up hierarchical clustering algorithm to divide Bitcoin and its forked coins into three clusters.•Although Bitcoin has a substantial effect on the returns of forked coins, it has no effect on their market structure.•We address how to avoid the potential financial dangers associated with forked coins.
ArticleNumber	101930
Author	Baltas, Konstantinos Ma, Chaoqun Nguyen, Thong Trung Kong, Xiaolin Ren, Yi-Shuai Narayan, Seema
Author_xml	– sequence: 1 givenname: Xiaolin surname: Kong fullname: Kong, Xiaolin organization: Business School, Hunan University, China – sequence: 2 givenname: Chaoqun surname: Ma fullname: Ma, Chaoqun organization: Business School, Hunan University, China – sequence: 3 givenname: Yi-Shuai surname: Ren fullname: Ren, Yi-Shuai email: renyishuai1989@126.com organization: Research Institute of Digital Society and Blockchain, Hunan University, China – sequence: 4 givenname: Seema surname: Narayan fullname: Narayan, Seema organization: Asia Pacific Applied Economics Association, Melbourne, Australia – sequence: 5 givenname: Thong Trung surname: Nguyen fullname: Nguyen, Thong Trung organization: School of Banking, University of Economics Ho Chi Minh City, Vietnam – sequence: 6 givenname: Konstantinos surname: Baltas fullname: Baltas, Konstantinos organization: Essex Business School, University of Essex, United Kingdom
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Snippet	Inconsistency of consensus results in blockchain forks, which create a new financial risk. After filtering out Bitcoin’s linear, nonlinear, and lag impacts on...
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SubjectTerms	Bitcoin Blockchain Financial risk Forked coin Hierarchical clustering algorithm Market structure
Title	Changes in the market structure and risk management of Bitcoin and its forked coins
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