TIME-SERIES ANALYSIS OF THE MOST COMMON CRYPTOCURRENCIES

Domagoj Sajter

Economic Thought and Practice, 2019, vol. 28, issue 1, 267-282

Abstract: This paper aims to gain and improve understanding of the three most common cryptocurrencies (Bitcoin, Ethereum and Ripple) by applying standard econometric tools upon their time-series data. Cryptocurrencies’ returns are compared to six major stock indices: two American (S&P500 and Russell 2000), one European (Stoxx 600), one Japanese (Nikkei 225), one Chinese (Hong Kong Hang Seng) and a global index (S&P Global 1200). The findings indicate that observed cryptocurrencies could be regarded as a new asset class, a fully digital, sui-generis financial instruments, as they are not coherently connected to the stock market. However, allocating capital into cryptocurrencies remains in the domain of pure speculation due to their strong volatility.

Keywords: blockchain; cryptocurrencies; time-series; financial markets (search for similar items in EconPapers)
JEL-codes: C32 G15 G23 G29 O33 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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