Elise Alfieri

Composition of the Jury

Abstract

The innovations brought about by cryptocurrencies and their underlying technology, blockchain, are opening up new avenues of research in finance. This doctoral dissertation consists of three essays on cryptocurrencies and centers on the concept of informational efficiency in markets. The first study aims to explain how blockchain, developed within informal communities, is adopted and integrated by organizations. This study provides a theoretical framework for blockchain technology, one that draws on the contractual and cognitive approaches of organizational theory. Through an illustrated literature review, a two-dimensional analysis presents the potential uses of blockchain based on participants’ access to information. The objective of the second study is twofold. First, it raises the question of the true nature of Bitcoin. After comparing Bitcoin to currencies, gold, and stocks, we base our analysis on the hypothesis that cryptocurrencies can be treated as stocks. Second, Bitcoin’s financial performance (risk-adjusted returns) is measured using traditional models such as the CAPM and the three-factor Fama-French model. We find that including Bitcoin in a portfolio significantly improves its diversification, while delivering positive and significant risk-adjusted returns globally, in Europe, and in the Asia-Pacific region. Bitcoin’s high volatility and strong performance lead us to analyze the speculative bubble nature of cryptocurrencies, which is the subject of the third study. We analyze this aspect using the PSY model developed by Phillips and Shi (2018). Second, we analyze the most significant peak and crash in the cryptocurrency market in late 2017 using the LPPL (Log Periodic Power Law) model. The results suggest periods of bubbles with contagion effects among cryptocurrencies. The theoretical and empirical analyses in this thesis contribute to the academic literature on cryptocurrencies. Our results are also important for companies and investors interested in the potential of cryptocurrencies and blockchain, as well as for policymakers responsible for regulating them.
 

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