On the relative behavior of cryptocurrencies' values
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Keywords
Κρυπτονομίσματα ; Συσχέτιση ; Τεχνολογία BlockchainAbstract
This study aimed to investigate the price behavior of five cryptocurrencies BTC, LTC, ETH, XMR, and XRP, their fluctuations, potential peaks, minimums, and whether there is a link, co-movement in the price behavior of the cryptocurrencies. For this reason, the daily prices of the five cryptocurrencies from 2013 until 2020 were retrieved from coinmarketcap.com. Initially, a correlation analysis was conducted with the use of a rolling window of 100 days of each pair of cryptocurrencies, BTC - LTC, BTC - ETH, BTC - XMR, BTC - XRP, LTC - ETH, LTC - XMR, LTC - XRP, ETH - XMR, ETH - XRP, and XMR – XRP. Also, a cointegration analysis was conducted with the use of the Johansen test. The rolling correlation analysis resulted that all five cryptocurrencies before the year 2017 presented an unstable pattern. Instead after 2017, the correlation level was higher than 0.6 for all five cryptocurrencies which is a sign of a stable and similar pattern among the cryptocurrencies. Finally, the Johansen test/cointegration analysis resulted that there was a cointegration equation for the time of 2017 until 2020. This result was consistent with the result of the rolling window analysis.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
67Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα