Investigating the nature of cryptocurrency returns – Sector-wise approach
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School of Business |
Bachelor's thesis
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Date
2019
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Mcode
Degree programme
Tieto- ja palvelujohtaminen
Language
en
Pages
27
Series
Abstract
Cryptocurrencies have gained substantial public interest in recent years. Cryptocurrencies are also a new asset class, which has made it a popular topic in academic literature. Due to cryptocurrencies’ high price fluctuation, it is essential to study their dynamics to provide information to cryptocurrency users and investors in order to make more informed investing decisions. This thesis studies cryptocurrencies’ daily price variance and correlation among ten different sectors, which are currencies, financial services, exchange, business services, healthcare, investing tool, marketplace, computing, IoT, and gaming. Each sector includes ten biggest cryptocurrencies of the sector. The sample data consists of 390 observations from the 6th of October 2018 to the 30th of October 2019. The aim of the study is to find new insight on cryptocurrencies’ variance movements and correlation properties. This study uses the ANOVA model to test differences in variance between the sectors, and the Pearson correlation test is used to examine interdependencies among the chosen sectors. The main findings show that there is no statistically significant difference in the daily price variance among the selected sectors. The correlation also shows to be positive and relatively high between the sectors. Based on the observed results, no significant sectorial diversification benefits found. It seems that regarding the purpose of the cryptocurrency, they all have similar natures. The observed results of this study are similar to previous studies. The results of this thesis improve our understanding of cryptocurrency properties and thus provide valuable information to both cryptocurrency investors and users.Description
Thesis advisor
Upreti, BikeshKeywords
cryptocurrency, blockchain, ANOVA, correlation, analysis