Are Cryptocurrencies Homogeneous?

Elias Bengtsson, Frida Gustafsson*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

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Abstract

This article investigates if cryptocurrencies returns' are similarly affected by a selection of demand- and supply-side determinants. Homogeneity among cryptocurrencies is tested via a least absolute shrinkage and selection operator (LASSO) model where determinants of Bitcoin returns are applied to a sample of 12 cryptocurrencies. The analysis goes beyond existing research by simultaneously covering different periods and design choices of cryptocurrencies. The results show that cryptocurrencies are heterogeneous, apart from some similarities in the impact of technical determinants and cybercrime. The cryptocurrency market displays evidence of substitution effects, and design choices related explain the impact of the determinants of return.
Original languageEnglish
JournalEuropean Financial Management
Volume29
Issue number1
Pages (from-to)150-195
Number of pages46
ISSN1354-7798
DOIs
Publication statusPublished - Jan 2023

Keywords

  • Bitcoin
  • Cryptocurrencies
  • Decentralised virtual currencies
  • Homogeneity
  • LASSO

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