Preliminary communication
TIME-SERIES ANALYSIS OF THE MOST COMMON CRYPTOCURRENCIES
Domagoj Sajter
orcid.org/0000-0001-5492-3570
; J. J. Strossmayer University of Osijek, Faculty of Economics
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
Hrčak ID:
221035
URI
Publication date:
13.6.2019.
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