This study investigates the relationship between expected returns on cryptocurrencies and macroeconomic fundamentals. We employ a dynamic factor model and summarize information as common factors. We find that the common factors are strongly linked to the cryptocurrency expected returns at a...

This study investigates whether market states impact the Bitcoin-Ether correlation. We observe an increase in the average correlation due to a rise in popularity of Ether. We also find that an increase in uncertainty leads to the low Bitcoin-Ether correlation, suggesting that investors focus on...

Both cryptocurrencies and gold are scarce, expensive for extraction, and less affected by money supply. We focus on these similarities and investigate whether cryptocurrency network affects impact on expected return on gold. Our results show that the number of cryptocurrency wallet users is...