Cryptocurrencies As an Asset Class? An Empirical Assessment
Journal of Alternative Investments, forthcoming
Posted: 30 Nov 2017 Last revised: 7 Aug 2020
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, precious metals in particular, 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 trading volume is driven by past returns. On the other hand, macroeconomic factors do not seem to affect market activity both in the short-term and in the long-term.
Keywords: Cryptocurrencies, Bitcoin, Blockchain, Financial Markets, Investments.
JEL Classification: G11, G12, G15, G19
Suggested Citation: Suggested Citation