比特币真的不受限制吗？（英文版）.pdf

THE JOURNAL OF FINANCE VOL. LXXV, NO. 4 AUGUST 2020 Is Bitcoin Really Untethered? JOHN M. GRIFFIN and AMIN SHAMS ABSTRACT This paper investigates whether Tether, a digital currency pegged to the U.S. dollar, influenced Bitcoin and other cryptocurrency prices during the 2017 boom. Using al- gorithms to analyze blockchain data, we find that purchases with Tether are timed followingmarketdownturnsandresultinsizableincreasesinBitcoinprices.Theflow is attributable to one entity, clusters below round prices, induces asymmetric auto- correlations in Bitcoin, and suggests insufficient Tether reserves before month-ends. Rather than demand from cash investors, these patterns are most consistent with the supply-based hypothesis of unbacked digital money inflating cryptocurrency prices. INNOVATION, EXCESSIVE SPECULATION, AND DUBIOUS behavior are often closely linked. Periods of extreme price increases followed by implosion, commonly known as “bubbles,” are often associated with legitimate inventions, technolo- gies, or opportunities. However, they can be carried to excess. In particu- lar, financial bubbles often coincide with the belief that a rapid gain can be John M. Griffin is at the McCombs School of Business, University of Texas at Austin. Amin ShamsisattheFisherCollegeofBusiness,OhioStateUniversity.Helpfulcommentswerereceived from Stefan Nagel (the editor); an associate editor; two anonymous referees; Cesare Fracassi; Sam Kruger; Shaun MaGruder; Gregor Matvos; Nikolai Roussanov; Clemens Sialm; and seminar and conference participants at the Chinese University of Hong Kong, Cryptocurrencies and Blockchain Conference at the University of Chicago, FBI CPA Conference, Financial Intelligence and Inves- tigations Conference, Fintech Conference at the Hong Kong University, Hong Kong University of Science and Technology, Hong Kong Securities and Futures Commission, Korea Advanced Insti- tute of Science and Technology, Korean Financial Supervisory Service, Japan Financial Services Agency, Santa Clara University, Texas Bitcoin Conference, Tsinghua University, U.S. Commodity Futures Trading Commission, University of Texas-Austin, University of Zurich, and Wharton Liq- uidity Conference at the University of Pennsylvania. Integra FEC purchased data and provided research assistant support for the project. Griffin is an owner of Integra FEC, which engages in financial consulting on a variety of issues related to financial fraud, including cryptocurrencies. See disclosure statement. We especially thank Tin Dinh for excellent conceptual assistance and Prateek Mahajan for research assistance. Correspondence: Amin Shams, Department of Finance, Ohio State University, 2100 Neil Ave, Columbus, OH 43210; e-mail: shams.22osu.edu. This is an open access article under the terms of the Creative Commons Attribution-NonCom- mercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes. DOI: 10.1111/jofi.12903 C 2020 The Authors. The Journal of Finance published by Wiley Periodicals LLC on behalf of American Finance Association 1913 1914 The Journal of Finance R obtained from simply selling an asset to another speculator. 1 Perhaps because of the focus on speculative activity rather than verifiable fundamentals, bub- bleshavehistoricallybeenassociatedwithvariousformsofmisinformationand fraud. For example, in the Mississippi Bubble of 1719 to 1720, promoters en- gaged in false marketing about the potential of income-generating assets, price support by the stock itself, and distribution of paper money that was not fully backed by gold as claimed (Dale (2004), Kindleberger and Aliber (2011). As we briefly discuss in Section I,anabundanceofevidencesuggeststhatfamous bubbles such as the 1840s Railroad bubble, the roaring 1920s stock market boom, the dot-com bubble, and the 2008 financial crisis all involved misin- formation, false accounting, price manipulation, collusion, and fraud, often in sophisticated forms. Cryptocurrencies grew from nearly nothing to over $300 billion in market capitalization in only a few years and fit the characterization of bubbles quite wellextreme speculation surrounding an innovative technology. To many, Bit- coin and other cryptocurrencies offer the promise of an anonymous, decen- tralized financial system free from banks and government intervention. The conception of Bitcoin corresponds to the 2008 to 2009 financial crisis, a time of growing disdain for government intervention and distrust of major banks. The promise of a decentralized ledger with independently verifiable transac- tions has enormous appeal, 2 especially in an age when centralized clearing is subject to concerns about both external hacking and internal manipulation. 3 Ironically, new large entities have gained centralized control over the vast ma- jority of operations in the cryptocurrency world, such as centralized exchanges that handle the majority of transactions and stable coin issuers that can con- trol the supply of money like a central bank. These centralized entities operate largely outside the purview of financial regulators and offer varying levels of limited transparency. Additionally, operating based on digital stable coins rather than fiat currency further relaxes the need for these entities to estab- lishalegitimatefiatbankingrelationship. 4 Trading on unregulated exchanges, specifically on cross-digital-currency exchanges, could leave cryptocurrencies vulnerable to gaming and manipulation. In this study, we examine the role of the largest stable coin, Tether, on Bit- coin and other cryptocurrency prices. Tether, which accounts for more Bitcoin transaction volume than the U.S. dollar (USD), is purportedly backed by USD 1 For example, in the bubble model of Scheinkman and Xiong (2003), investors purchase assets not because of their belief in the underlying cash flows, but because they can sell the asset to another individual with a higher valuation. 2 The appeal, underlying value, and mechanics of cryptocurrencies and decentralized ledgers have been described in recent descriptive and theoretical work (Yermack (2017), Sockin and Xiong (2018), Cong, He, and Li (2019), Cong, Li, and Wang (2019). 3 Recent examples of apparently manipulated markets include LIBOR (Mollenkamp and White- house (2008), FX manipulation (Vaughan and Finch (2013), gold (Denina and Harvey (2004), and the VIX index (Griffin and Shams (2018). Kumar and Seppi (1992)andSpatt(2014) discuss conditions that may facilitate manipulation. 4 ByMay20,2018,over1,600cryptocurrenciesanddigitaltokensweretradingonvariousdigital exchanges. Is Bitcoin Really Untethered? 1915 reserves and allows for dollar-like transactions without a banking connection, which many cryptoexchanges have difficulty obtaining or keeping. Although some in the blogosphere and press have expressed skepticism regarding the USD reserves backing Tether, 5 the cryptocurrency exchanges largely reject such concerns and widely use Tether in transactions. To shed light on the driving forces behind the 2017 boom of cryptocurrency markets, we examine two main alternative hypotheses for Tether: whether Tether is “pulled” (demand-driven), or “pushed” (supply-driven). Under the pulled hypothesis, Tether is driven by legitimate demand from investors who use Tether as a medium of exchange to enter their fiat capital into the cryp- tospace because it is digital currency with the stability of the dollar “peg.” In this case, the price impact of Tether reflects natural market demand. Alternatively, under the “pushed” hypothesis, Bitfinex prints Tether regard- less of the demand from cash investors, and additional supply of Tether can createinflationinthepriceofBitcointhatisnotduetoagenuinecapitalflow.In this setting, Tether creators have several potential motives. First, if the Tether creators, like most early cryptocurrency adopters and exchanges, have large holdings of Bitcoin, they generally profit from the inflation of the cryptocur- rency prices. Second, coordinated supply of Tether creates an opportunity to manipulate cryptocurrencieswhen prices are falling, the Tether creators can convert their large Tether supply into Bitcoin in a way that pushes Bitcoin up and then sellsome Bitcoin back into dollars in a venue with less price impact to replenish Tether reserves. Finally, if cryptocurrency prices crash, the founders essentially have a put option to default on redeeming Tether, or to potentially experience a “hack” or insufficient reserves where by Tether-related dollars disappear. The “pushed” and “pulled” hypotheses have different testable im- plications for capital flows and cryptocurrency returns that we can take to the powerful blockchain data. We begin our exercise by collecting and analyzing Tether and Bitcoin blockchain data using a series of algorithms that reduce the complexity of the blockchain. In particular, because of the semitransparent nature of the transaction history recorded on the blockchain, we are able to use variations of algorithms developed in computer science to cluster groups of related Bitcoin wallets. Large clusters are then labeled by identifying certain member wal- lets inside each group and tracking the flow of coins between major players in the market. Figure 1 plots the aggregate flow of Tether among major market participants on the Tether blockchain from its conception in October 6, 2014 until March 31, 2018. The size of the nodes is proportional to the sum of coin inflow and outflow to each node, the thickness of the lines is proportional to the size of flows, and all flow movements are clockwise. Tether is authorized, moved to Bitfinex, and then slowly distributed to other Tether-based exchanges, mainly Poloniex and Bittrex. The graph shows that almost no Tether returns to the Tether issuer to 5 For example, see posts by Bitfinexed account at and Popper (2017). 1916 The Journal of Finance R Figure 1. Aggregate flow of Tether between major addresses. This figure shows the aggre- gate flow of Tether between major exchanges and market participants from Tether genesis block to March 31, 2018. Tether transactions are captured on Omni Layer as transactions with the coin ID 31. The data include confirmed transactions with the following action types: Grant Property Tokens, Simple Send, and Send All. Exchange identities on the Tether blockchain are obtained from the Tether rich list. The thickness of the edges is proportional to the magnitude of the flow between two nodes, and the node size is proportional to aggregate inflow and outflow for each node. Intranode flows are excluded. The direction of the flow is shown by the curvature of the edges, with Tether moving clockwise from a sender to a recipient. (Color figure can be viewed at ) be redeemed, and the major exchange where Tether can be exchanged for USD, Kraken, accounts for only a small proportion of transactions. Tether also flows out to other exchanges and entities and becomes more common as a medium of exchange over time. AsimilaranalysisoftheflowofcoinsonthemuchlargerBitcoinblockchain shows that the three main Tether exchanges for most of 2017 (Bitfinex, Is Bitcoin Really Untethered? 1917 Poloniex, and Bittrex) also facilitate considerable cross-exchange Bitcoin flows among themselves. 6 Additionally, we find that the cross-exchange Bitcoin flows on Bitcoin blockchain closely match the Tether flows on the Tether blockchain. This result independently verifies our algorithm for categorizing exchange identities and also captures the direct exchange of Tether for Bitcoin. Addi- tionally, we find that one large player is associated with more than half of the exchange of Tether for Bitcoin at Bitfinex, suggesting that the distribution of Tether into the market is from a large player and not from many different investors who bring cash to Bitfinex to purchase Tether. We examine the flow of coins identified above to understand whether Tether is pushed or pulled, and the effect of Tether, if any, on Bitcoin prices. First, following periods of negative Bitcoin returns, Tether flows from Bitfinex to Poloniex and Bittrex, and in exchange, Bitcoin is sent back to Bitfinex. Second, when there are positive net hourly flows from Bitfinex to Poloniex and Bittrex, Bitcoin prices move up over the next three hours, resulting in predictably high Bitcoin returns. The price impact is present after periods of negative returns and periods following the printing of Tether, that is, when there is likely an oversupply of Tether in the system. This phenomenon strongly suggests that the price effect is driven by Tether issuances. Additionally, the price impact is strongly linked to trading of the one large player and not to other accounts on Poloniex, Bittrex, or other Tether exchanges. To gauge the aggregate magnitude of the observed price impact, we focus on the top 1% of hours with the largest lagged combined Bitcoin and Tether net flows on the two blockchains. These 95 hours have large negative returns before the flows but are followed by large positive returns afterward. This 1% of our time series (over the period from the beginning of March 2017 to the end of March 2018) is associated with 58.8% of Bitcoins compounded return and 64.5% of the returns on six other large cryptocurrencies (Dash, Ethereum Classic, Ethereum, Litecoin, Monero, and Zcash). 7 A bootstrap analysis with 10,000 simulations demonstrates that this behavior does not occur randomly, and a similar placebo analysis for flows to other Tether exchanges shows very little price impact. Further analysis for the single largest player on Bitfinex shows that the 1%, 5%, and 10% of hours with the highest lagged flow of Tether by this one player are associated with 55%, 67.2%, and 79.2% of Bitcoins price increase over our March 1, 2017 to March 31, 2018 sample period. This pattern is not present for the flows to any other Tether exchanges. Moreover, simulations show that these patterns are highly unlikely to be due to chancethis one large player or entity either exhibited clairvoyant market timing or exerted an 6 For the period between March 1, 2017 and March 31, 2018, we grouped over 640,000 wallet addresses as Bitfinex, 720,000 addresses as Poloniex, and 1.22 million wallet addresses as Bittrex using our clustering algorithm. 7 These findings are instructive but incomplete, and they may over- or understate the Tether effect. Fully quantifying the effect of Tether on Bitcoin depends on knowing precise price impacts and the various exchange, off-exchange, and cross-trading mechanisms on which these cryptocur- rencies may trade. 1918 The Journal of Finance R extremely large price impact on Bitcoin that is not observed in the aggregate flows from other smaller traders. Such trading by this one player is also large enough to induce a statistically and economically strong reversal in Bitcoin prices