Indices on Cryptocurrencies: an Evaluation

19 Pages Posted: 2 Aug 2021

See all articles by Konstantin Häusler

Konstantin Häusler

Humboldt University of Berlin - School of Business and Economics

Hongyu Xia

Xiamen University

Date Written: July 28, 2021

Abstract

Several cryptocurrency (CC) indices track the dynamics of the rising
CC sector, and soon ETFs will be issued on them. We conduct a qualitative
and quantitative evaluation of the currently existing CC indices. As the CC
sector is not yet consolidated, index issuers face the challenge of tracking the
dynamics of a fast-growing sector that is under continuous transformation. We
propose several criteria and various measures to compare the indices under review.
Major di erences between the indices lie in their weighting schemes, their
coverage of CCs and the number of constituents, the level of transparency, and
thus their accuracy in mapping the dynamics of the CC sector. Our analysis
reveals that indices that adapt dynamically to this rising sector outperform
their competitors. Interestingly, increasing the number of constituents does
not automatically lead to a better  t of the CC sector. All codes are available
on Quantlet.com

Keywords: Cryptocurrency, Index, Market Dynamics, Bitcoin

JEL Classification: C43, G19

Suggested Citation

Häusler, Konstantin and Xia, Hongyu, Indices on Cryptocurrencies: an Evaluation (July 28, 2021). Available at SSRN: https://ssrn.com/abstract=3895083 or http://dx.doi.org/10.2139/ssrn.3895083

Konstantin Häusler (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany

Hongyu Xia

Xiamen University ( email )

Xiamen, Fujian 361005
China

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