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Does Mining Activity Drive Crash Risks in Bitcoin?

delete2025-12-03
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M
Matteo Bonato *
R
Rıza Demirer
R
Rangan Gupta
A
Abeeb Olaniran
DOI:10.1016/j.qref.2025.102082delete
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Abstract

Abstract

En 中文
• Mining activity predicts increases in Bitcoin crash risk. • Effects are strongest at median to high crash-risk quantiles. • Crash risk captured via realized skewness and down-to-up volatility. • Nonlinear quantile tests show state-dependent predictability. • Mining dynamics contribute to Bitcoin pricing inefficiencies.
Keywords:
C22
C53
G10
Bitcoin
Crash risk
Mining activity
Predictive regression model
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T
The Quarterly Review of Economics and Finance
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