Imperial College London
Alternate

Professor Franklin Allen

Business School

Interim Dean of Imperial College Business School (ICBS)
 
 
 
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Contact

 

+44 (0)20 7594 9195f.allen Website CV

 
 
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Location

 

2.05B52-53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Allen:2022:10.1016/j.intfin.2022.101637,
author = {Allen, F and Fatas, A and Weder, di Mauro B},
doi = {10.1016/j.intfin.2022.101637},
journal = {Journal of International Financial Markets, Institutions and Money},
pages = {1--9},
title = {Was the ICO boom just a sideshow of the Bitcoin and Ether Momentum?},
url = {http://dx.doi.org/10.1016/j.intfin.2022.101637},
volume = {80},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We investigate whether the market for ICOs in 2017–2018 and 2021 showed signs of contagion from prices of Bitcoin and Ether. During phases of optimism, ICO daily returns display low correlations with those of Bitcoin or Ether. But when the bubble bursts, correlations jump to very high levels, signaling that the ICO market becomes a sideshow of the cryptocurrency dynamics. We demonstrate that this high correlation was not present during the Nasdaq bubble in the 1990s, signaling that the price dynamics of digital tokens seems to be driven by a common factor, much more than in previous bubbles.
AU  - Allen,F
AU  - Fatas,A
AU  - Weder,di Mauro B
DO  - 10.1016/j.intfin.2022.101637
EP  - 9
PY  - 2022///
SN  - 1042-4431
SP  - 1
TI  - Was the ICO boom just a sideshow of the Bitcoin and Ether Momentum?
T2  - Journal of International Financial Markets, Institutions and Money
UR  - http://dx.doi.org/10.1016/j.intfin.2022.101637
UR  - https://www.sciencedirect.com/science/article/pii/S104244312200110X?via%3Dihub
UR  - http://hdl.handle.net/10044/1/99277
VL  - 80
ER  -
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