Investments in Cryptocurrencies: <i>Handle with Care!</i>

Glas, Tobias

doi:10.3905/jai.2019.22.1.096

Cited by 28 publications

(14 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…As a foundation of our analysis, we follow various studies, by extracting CCs' daily prices from the website coinmarketcap.com (i.a. (Fry and Cheah, 2016;Hayes, 2017;Brauneis and Mestel, 2018;Caporale et al, 2018;Gandal et al, 2018;Glas, 2019). For an observation period from 2014-01-01 to 2019-06-01, we take N = 66 CCs from the Coinmarketcap Market Cap Ranking at the reference date of 2014-01-01 into consideration, cf.…”

Section: Datamentioning

confidence: 99%

“…Even though the technical properties of CCs are well understood, CCs' behavior remains to be fully comprehended and analyzed. As of today, many economic studies have focused on Bitcoin and other prominent CCs such as Ethereum and Ripple since they dominate the CC market due to their high proportion of total market capitalization (Glas, 2019). In this regard, Baur et al (2018) and Glas (2019) find Bitcoin and other CCs to be uncorrelated to traditional assets in times of financial distress.…”

Section: Introductionmentioning

confidence: 99%

“…As of today, many economic studies have focused on Bitcoin and other prominent CCs such as Ethereum and Ripple since they dominate the CC market due to their high proportion of total market capitalization (Glas, 2019). In this regard, Baur et al (2018) and Glas (2019) find Bitcoin and other CCs to be uncorrelated to traditional assets in times of financial distress. Additionally, , show CC's behavior to differ from fiat currencies as well.…”

Section: Introductionmentioning

confidence: 99%

“…Ethereum, Ripple and Litecoin ( (Baur et al, 2018;Bouri et al, 2017b;Osterrieder et al, 2017;Gkillas and Katsiampa, 2018;Majoros and Zempléni, 2018;Kakinaka and Umeno, 2020). Therefore, most studies do not consider the entirety of the CC market, which, as Glas (2019) points out, might lead to potential bias. Hence, we join Glas (2019) and ElBahrawy et al (2017), in an attempt to give a broader overview of the CC market.…”

Section: Introductionmentioning

confidence: 99%

“…Therefore, most studies do not consider the entirety of the CC market, which, as Glas (2019) points out, might lead to potential bias. Hence, we join Glas (2019) and ElBahrawy et al (2017), in an attempt to give a broader overview of the CC market. By doing so we tackle two existing gaps in literature found by Corbet et al (2019) in their extensive literature review.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

On the Return Distributions of a Basket of Cryptocurrencies and Subsequent Implications

Börner¹,

Hoffmann²,

Krettek³

et al. 2021

Preprint

View full text Add to dashboard Cite

This paper evaluates and assesses the risk associated with capital allocation in cryptocurrencies (CCs). In this regard, we take a basket of 27 CCs and the CC index EWCI − into account. After considering a series of statistical tests we find the stable distribution (SDI) to be the most appropriate to model the body of CCs returns. However, as we find the SDI to possess less favorable properties in the tail area for high quantiles, the generalized Pareto distribution is adapted for a more precise risk assessment. We use a combination of both distributions to calculate the Value at Risk and the Conditional Value at Risk, indicating two subgroups of CCs with differing risk characteristics.

show abstract