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Return factors of Ether cryptocurrency: on chain metrics and DeFi

Shilov, Kirill (Шилов, Кирилл) (shilov-kd@ranepa.ru) and Zubarev, Andrey (Зубарев, Андрей) (zubarev@ranepa.ru)
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Shilov, Kirill (Шилов, Кирилл): The Russian Presidential Academy of National Economy and Public Administration
Zubarev, Andrey (Зубарев, Андрей): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: In this study, we analyse whether such inner features of Ethereum blockchain as creation of smart contracts and decentralized applications influence in any way the price dynamics of Ethereum’s native cryptocurrency Ether or the latter can be mainly explained by the cryptocurrency market movements. Our results show that various on-chain metrics and total value locked in Ethereum’s DeFi protocols are almost insignificantly correlated with Ether returns on daily and weekly data. The corresponding regression models are also not able to explain a sufficient part of the variation of Ether returns relative to USD and BTC.

Keywords: cryptocurrency; blockchain; Ethereum; Bitcoin; financial markets; financial assets (search for similar items in EconPapers)
JEL-codes: C52 G12 G15 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2023-04-28
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