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We investigate whether cryptocurrencies can be legitimate investments with potential use as a hedging tool. We show that Bitcoin and Litecoin can be useful as a hedge due to negative or zero correlations with other asset classes while Ripple shows traits of a diversifying investment. Due to...
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Bitcoin was the first cryptocurrency using blockchain and has been the market leader since the first bitcoin was mined in 2009. After the birth of bitcoin in the Genesis Block, more than 1000 altcoins and crypto-tokens have been created with at least 919 trading actively on unregulated or...
Persistent link: https://www.econbiz.de/10012901641
Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum...
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Optimizations given historical data unsurprisingly produce sizeable allocations to Bitcoin (XBT). But further analyses of risks raise questions, even abstracting from expected returns. GARCH-based measures of dynamic XBT volatility and covariance suggest optimal weights change over time. Also,...
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This paper documents a persistent structure in cryptocurrency returns and analyzes a broad set of characteristics that explain this structure. The results show that similarities in size, trading volume, age, consensus mechanism, and token industries drive the structure of cryptocurrency returns....
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We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors. They also have no exposure to the returns of...
Persistent link: https://www.econbiz.de/10012452844