Event-Driven Strategies in Crypto Assets

Posted: 22 Apr 2019 Last revised: 8 Dec 2021

See all articles by Samed Krüger

Samed Krüger

Bergische Universitat Wuppertal - BUW - Schumpeter School of Business and Economics

Maximilian Müller

BUW- Schumpeter School of Business and Economics

Christian Rokitta

insoro GmbH

Date Written: April 1, 2019

Abstract

Due to structural, regulatory and security-related advantages, crypto assets attract an unparalleled attention all over the world and lead to a heated discussion, whether crypto assets can be considered as a viable option for alternative investments. However, aside from regulatory uncertainty, a lack of profound academic studies and quantitative time series analysis seems to be a vast entry barrier for institutional investors, leading to the fact that the majority share of crypto assets are still being held by young, risk-tolerant retail investors, with high affinity for blockchain technology and innovation. This paper applies important findings of asset pricing theory on the rising academic field of crypto assets and deduces practical implications for retail and institutional investors. Our study includes descriptive statistics and correlation analysis of crypto and capital markets, as well as an event and price impact analysis. Our empirical findings document no evidence for an increase of market efficiency of crypto assets as proxied by bitcoin and reveal significant inefficiencies, leaving valid arguments for either passive or active investment strategies. In addition, our event study findings show significant evidence for insider trading which should call market regulators for actions to fight tax regulations and ensure a fair market environment.

Keywords: Crypto Assets, Event Study, Asset Pricing, Bitcoin, Digital Currency, Alternative Investment, Portfolio Optimization

JEL Classification: G140, G110, G170

Suggested Citation

Krüger, Samed and Müller, Maximilian and Rokitta, Christian, Event-Driven Strategies in Crypto Assets (April 1, 2019). Available at SSRN: https://ssrn.com/abstract=3363589 or http://dx.doi.org/10.2139/ssrn.3363589

Samed Krüger

Bergische Universitat Wuppertal - BUW - Schumpeter School of Business and Economics ( email )

Gaußstraße 20
Wuppertal, 42119
Germany

Maximilian Müller

BUW- Schumpeter School of Business and Economics ( email )

Gaußstraße 20
Wuppertal, 42119
Germany

Christian Rokitta (Contact Author)

insoro GmbH ( email )

Im Mediapark 5
Cologne, DE 50670
+4922197580104 (Phone)

HOME PAGE: http://www.insoro.com

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