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

https://hrcak.srce.hr/221035

Publication date:

13.6.2019.

Article data in other languages: croatian

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