{"id":388,"date":"2018-01-17T08:49:56","date_gmt":"2018-01-17T08:49:56","guid":{"rendered":"https:\/\/blockchain-society.science\/?p=388"},"modified":"2018-01-17T08:49:56","modified_gmt":"2018-01-17T08:49:56","slug":"cryptocurrencies-as-an-asset-class-an-empirical-assessment-by-daniele-bianchi-ssrn","status":"publish","type":"post","link":"https:\/\/blockchain-society.science\/?p=388","title":{"rendered":"Cryptocurrencies as an Asset Class: An Empirical Assessment by Daniele Bianchi :: SSRN"},"content":{"rendered":"
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Cryptocurrencies as an Asset Class: An Empirical Assessment<\/h1>\n
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59 Pages\u00a0Posted: 30 Nov 2017\u00a0Last revised: 6 Dec 2017<\/p>\n

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Daniele Bianchi<\/a><\/h2>\n

University of Warwick, Warwick Business School<\/p>\n<\/div>\n

Date Written: December 5, 2017<\/p>\n

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Abstract<\/h3>\n

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.<\/p>\n<\/div>\n<\/blockquote>\n

Source: Cryptocurrencies as an Asset Class: An Empirical Assessment by Daniele Bianchi :: SSRN<\/a><\/em><\/p>\n","protected":false},"excerpt":{"rendered":"

Cryptocurrencies as an Asset Class: An Empirical Assessment 59 Pages\u00a0Posted: 30 Nov 2017\u00a0Last revised: 6 Dec 2017 Daniele Bianchi University of Warwick, Warwick Business School Date Written: December 5, 2017 Abstract It has long been debated whether cryptocurrencies are just a passing fad, a disruptive innovation, or simply share features with standard securities. In this […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"inline_featured_image":false,"footnotes":""},"categories":[26,5],"tags":[],"_links":{"self":[{"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/posts\/388"}],"collection":[{"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=388"}],"version-history":[{"count":1,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/posts\/388\/revisions"}],"predecessor-version":[{"id":389,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=\/wp\/v2\/posts\/388\/revisions\/389"}],"wp:attachment":[{"href":"https:\/\/blockchain-society.science\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=388"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=388"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blockchain-society.science\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=388"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}