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Cryptocurrencies as an Asset Class: An Empirical Assessment

59 Pages Posted: 30 Nov 2017 Last revised: 6 Dec 2017

Daniele Bianchi

University of Warwick, Warwick Business School

Date Written: December 5, 2017


It has long been debated whether cryptocurrencies are just a passing fad, a disruptive innovation, or simply share features with standard securities. In this paper, I use a novel data set of prices, traded volumes, and market capitalization for a large set of cryptocurrencies to empirically investigate both their relationship with standard asset classes and the main driving factors behind market activity. The main empirical results suggest that there is a significant relationship between returns on cryptocurrencies and commodities such as gold and energy. Also, while volatility correlates with traded volume, the latter is primarily driven by past returns and by a short-lived effect of aggregate market uncertainty. This is consistent with existing theoretical models in which trading activity is primarily driven by investors' sentiment. 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, Bitcoin, Blockchain, Financial Markets, Investments

JEL Classification: G11, G12, G15, G19

Suggested Citation

Bianchi, Daniele, Cryptocurrencies as an Asset Class: An Empirical Assessment (December 5, 2017). Available at SSRN: or

Daniele Bianchi (Contact Author)

University of Warwick, Warwick Business School ( email )

Gibbet Hill Rd
Coventry, CV4 7AL
Great Britain


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