An empirical study of market risk factors for Bitcoin

Shubham Singh

Papers from arXiv.org

Abstract: The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess returns over various moving average periods is tested through applications of several statistical methods. The analysis aims to determine if equity market factors are significant in explaining and modeling systemic risk in Bitcoin.

Date: 2024-05, Revised 2024-07
New Economics Papers: this item is included in nep-fmk, nep-pay and nep-rmg
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