Cryptocurrencies’ Internal and External Relations: a Descriptive Analysis of Cryptocurrency Dynamics and Relations to the US Equity Market

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Shin, Sean
dc.contributor.author Aaltonen, Aleksi
dc.date.accessioned 2018-03-28T12:43:11Z
dc.date.available 2018-03-28T12:43:11Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/30406
dc.description.abstract This thesis is a descriptive statistical analysis of cryptocurrency market and its relation within cryptocurrencies and across asset classes, using correlation functions, orthogonalized impulse response functions and OLS regressions. Consistent with Wang (2014), bitcoin does not suffer from a liquidity trap, even though bitcoin is a decentralized system. This thesis concludes that bitcoin has a lead effect on only 2 out of 8 of the top cryptocurrencies, endowing diversification benefits within cryptocurrency market. This paper provides evidence on cryptocurrency market’s and US equity market’s impulse response dynamics which are insignificant, consistent with Gangwal’s (2016) results that adding cryptocurrencies to a diversified portfolio will yield to a higher Sharpe ratio. Lastly, the study reports bitcoin momentum factor having an impact on banking and financial industries’ excess returns. en
dc.format.extent 34
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Cryptocurrencies’ Internal and External Relations: a Descriptive Analysis of Cryptocurrency Dynamics and Relations to the US Equity Market en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword Bitcoin en
dc.subject.keyword Bitcoin liquidity en
dc.subject.keyword Bitcoin and equity market en
dc.subject.keyword cryptocurrency en
dc.subject.keyword descriptive analysis en
dc.subject.keyword asset class en
dc.subject.keyword market relations en
dc.identifier.urn URN:NBN:fi:aalto-201803281873
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus fi


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