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Indices on cryptocurrencies: An evaluation

Konstantin Häusler and Hongyu Xia

No 2021-014, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: Several cryptocurrency (CC) indices track the dynamics of the rising CC sector, and soon ETFs will be issued on them. We conduct a qualitative and quantitative evaluation of the currently existing CC indices. As the CC sector is not yet consolidated, index issuers face the challenge of tracking the dynamics of a fast-growing sector that is under continuous transformation. We propose several criteria and various measures to compare the indices under review. Major differences between the indices lie in their weighting schemes, their coverage of CCs and the number of constituents, the level of transparency, and thus their accuracy in mapping the dynamics of the CC sector. Our analysis reveals that indices that adapt dynamically to this rising sector outperform their competitors. Interestingly, increasing the number of constituents does not automatically lead to a better fit of the CC sector.

Keywords: Cryptocurrency; Index; Market Dynamics; Bitcoin (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-isf and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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