Date of Award


Document Type

Dissertation - Open Access

Degree Type


Degree Name

Doctor of Business Administration (DBA)


Dr. Halil Kiymaz

Second Advisor

Dr. Koray Simsek

Third Advisor

Dr. Brian Walkup


Blockchain, smart contracts, Bitcoin, Ethereum, AMIM, GARCH


Cryptocurrencies and blockchain technology have gained a lot of interest in recent years either as an investment alternative or due to their practical applications. Even though it all started with a humble paper written by Satoshi Nakamoto in 2008, the market value of cryptocurrencies reached $3 trillion during their peak in 2021. As cryptocurrencies and blockchain technology evolve, their adoption and common use may impact how prices of digital currencies like Bitcoin and Ethereum behave in the markets. This dissertation looks for a potential connection between the creation of smart contracts in the Ethereum Virtual Machine and the return and volatility of Ethereum and Bitcoin. Additionally, this dissertation applies different techniques to measure volatility, market efficiency, and the day-of-the-week effect in Ethereum and Bitcoin markets. The results of these analyses show that there is not a clear connection between Bitcoin and smart contracts created in the Ethereum platform, but in the case of Ethereum, a connection does exist. Regarding volatility, the study found some evidence that the erratic behavior of Bitcoin and Ethereum is decreasing, offering periods of less volatility and signs of efficiency in the market. Regarding the day-of-the-week effect, it changes dramatically depending on market conditions like during COVID-19, in which the performance changed patterns compared to previous years, but then returned to some stability after the public health emergency. The results show that the day-of-the-week effect is more consistent in the variance equation than in the return equation for Bitcoin and Ethereum.