PUBLISHED PAPERS

Kapar, B. and J. Olmo (2019) “An Analysis of Price Discovery between Bitcoin Futures and Spot Markets”, Economics Letters, 174, 62-64.

This paper analyzes the Bitcoin price discovery process. We collect data on futures and spot prices for the period December 2017 to May 2018 and compute Hasbrouck’s information share and Gonzalo and Granger’s common factor component to quantify the contribution of each market to the price discovery process. Both measures coincide in suggesting that the Bitcoin futures market dominates the price discovery process. We also find that both prices are driven by a common factor that is given by a weighted combination of the futures and spot market. Finally, we observe that deviations from the equilibrium condition equating the futures and spot log-price have predictive ability for the return on the Bitcoin spot price but not on the futures price.

Burcu Kapar

Zalan, T. (2018) “Born Global on Blockchain”, Review of International Business and Strategy, 28 (2), pp.19-34. Outstanding Paper in the 2019 Emerald Literati Awards (https://doi.org/10.1108/RIBS-08-2017-0069)

The purpose of this paper is to alert international business (IB) and international entrepreneurship (IE) researchers of a new phenomenon and novel research opportunities arising as a result of digital innovations brought about by the new, decentralized internet popularly known as “blockchain”. The paper contains a general overview of the blockchain technology and maps connections with the IB/IE literature, focusing on explaining accelerated internationalization of firms that are born global on blockchain.

Tatiana Zalan

Zalan, T. & E. Toufaily (2017) “The Promise of Fintech in Emerging Markets: Not as Disruptive”,  Contemporary Economics, 11(4), 415-430. 

Fintech innovations – innovations by financial services providers based on digital technology – are widely believed to have a disruptive effect on the financial services industry. The purpose of the paper is to investigate how financial services industry participants perceive the effect of digital disruption as well as to explore what strategies are being adopted by incumbents in the face of potential disruption from fintech challengers. Based on an exploratory study with stakeholders from the financial ecosystem in the Middle East and North Africa (MENA), the findings show that the fintech sector is still nascent, but is likely to be disruptive in selected product and customer segments. Multiple regulatory, structural, and cultural obstacles stand in the way of fintech adoption. Incumbents’ preferred strategy to face the future disruption is the bank-fintech collaboration, which will create new value for ecosystem partners and speed up innovation. Our study adds useful insights to the body of knowledge related to disruptive innovations in general and fintech in emerging markets in particular. Specifically, the collaborative response is inconsistent with the strategies usually recommended for incumbents in disruptive innovation theory. We hypothesize that our participants’ preference for partnering can be explained in the light of the distinctive characteristics of the digital economy. We propose a framework for creating a financial services platform embedded in a broader ecosystem to facilitate the bank-fintech collaboration.

Tatiana Zalan

Elissar Toufaily

Toufaily E., Zalan T. & Ben Dhaou S. (2019), “Myths and Realities of Blockchain Technology Adoption: An Empirical Investigation of Challenges and Implications Across Industry Sectors” Submitted to Information & Management, October 2019 (Under review)

The purpose of the paper is to investigate the use-cases, challenges and implications related to blockchain adoption in the private and public sectors, and from the entrepreneurs’ perspective. Forty-two semi-structured interviews were conducted. A holistic, data-driven theoretical framework is proposed focussing on the environmental, organizational and technological challenges of blockchain adoption. The framework includes socio-economic value of blockchain adoption at the ecosystem level from the perspective of various stakeholders: organizations and industries, end-users and society, public sector and start-ups and entrepreneurs. The paper discusses how organizations could overcome barriers to adoption and proposes guidelines for policy makers and private institutions.

Elissar Toufaily

Tatiana Zalan

Kapar, B. & J. Olmo (2019) “A Pricing Model for Bitcoin based on a Permanent-Transitory Decomposition” Submitted to World Economy Journal, September 2019 (Under review)

This paper proposes an empirical model for Bitcoin price discovery. To do this, we consider a vector error correction model over two overlapping periods: 2010-2017 and 2010-2019. Price discovery is achieved through the Gonzalo-Granger permanent-transitory decomposition. The pricing factors are endogenous linear combinations of the S&P 500 index, gold price, a Google search variable associated to Bitcoin, and a fear index proxied by the FED Financial Stress Index. Our empirical analysis shows that during the first period a linear combination of four pricing factors describes the efficient Bitcoin price. The S&P 500 index and Google searches have a positive effect whereas gold prices and the fear index have a negative effect. In contrast, during the second period, the efficient price behaves idiosyncratically and can be only rationalized by individuals' search for information on the cryptocurrency. These findings provide empirical evidence on the presence of a correction in Bitcoin prices during the period 2018-2019 uncorrelated to market fundamentals.

Burcu Kapar

The Center of Research on FinTech, Blockchain & Smarter Logistics | Dubai  2020