Cryptocurrencies As an Asset Class? An Empirical Assessment
35 Pages Posted: 30 Nov 2017 Last revised: 16 Jun 2018
Date Written: June 6, 2018
I empirically investigate some of the key features of cryptocurrency returns and volatilities such as their relationship with traditional asset classes, as well as the main driving factors behind market activity. The main empirical results suggest that while there is a mild relationship between returns on cryptocurrencies and commodities, e.g., gold and energy, such relationship does not translates in volatility spillover effects. Consistent with existing theoretical models in which trading activity is primarily driven by investors' sentiment, I show that traded volume is primarily driven by past returns and by a short-lived effect of aggregate market uncertainty. Finally, impulse-response functions from a panel Vector Autoregressive (VAR) model show that macroeconomic factors do not significantly drive trading activity in cryptocurrency markets.
Keywords: Cryptocurrencies, Blockchain, Financial Markets, Returns Correlations, Volatility Spillovers.
JEL Classification: G11, G12, G15, G19
Suggested Citation: Suggested Citation