Fundamental and speculative components of the cryptocurrency pricing dynamics  

作　　者：Jiri Kukacka Ladislav Kristoufek 

机构地区：[1]Institute of Information Theory and Automation,Czech Academy of Sciences,Pod Vodarenskou vezi 4,18200 Prague 8,Czechia [2]Faculty of Social Sciences,Institute of Economic Studies,Charles University,Opletalova 26,11000 Prague 1,Czechia

出　　处：《Financial Innovation》2023年第1期1694-1716,共23页金融创新（英文）

基　　金：financial support from the Czech Science Foundation under the 20-17295S“Cryptoassets:Pricing,Interconnectedness,Mining,and their Interactions”project and from the Charles University PRIMUS program(project PRIMUS/19/HUM/17);Jiri Kukacka gratefully acknowledges financial support from the Charles University UNCE program(project UNCE/HUM/035);supported by the Cooperatio Program at Charles University,research area Economics.

摘　　要：The driving forces behind cryptoassets’price dynamics are often perceived as being dominated by speculative factors and inherent bubble-bust episodes.Fundamental components are believed to have a weak,if any,role in the price-formation process.This study examines five cryptoassets with different backgrounds,namely Bitcoin,Ethereum,Litecoin,XRP,and Dogecoin between 2016 and 2022.It utilizes the cusp catastrophe model to connect the fundamental and speculative drivers with possible price bifurcation characteristics of market collapse events.The findings show that the price and return dynamics of all the studied assets,except for Dogecoin,emerge from complex interactions between fundamental and speculative components,includ-ing episodes of price bifurcations.Bitcoin shows the strongest fundamentals,with on-chain activity and economic factors driving the fundamental part of the dynam-ics.Investor attention and off-chain activity drive the speculative component for all studied assets.Among the fundamental drivers,the analyzed cryptoassets present their coin-specific factors,which can be tracked to their protocol specifics and are economi-cally sound.

关 键 词：Cryptocurrency Bitcoin Cusp catastrophe model CRASH 

分 类 号：C52[社会学] G12[文化科学]