Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad Autónoma Metropolitana
2023
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| _version_ | 1876451044213391360 |
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| author | Michael Demmler |
| author_facet | Michael Demmler |
| contents | Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design Michael Demmler Economía y Finanzas covid 19 pandemic Cryptocurrency return analysis portfolio analysis This study explores the financial performance of cryptocurrencies during the COVID-19 pandemic. In particular, the research objective is to compare the market price movements of the leading cryptocurrencies Bitcoin, Ethereum, BNB and XRP before and during the COVID-19 pandemic based on a longitudinal, exploratory, and quantitative research design which is centered on the analysis of the statistical moments of logarithmic return distributions, tests for structural changes combined with stationarity tests and portfolio optimization strategies. Results of the analysis show a clear change of the medium- to long-term return behavior of the analyzed cryptocurrencies during the pandemic, although not immediately after the pandemic announcement of the WHO in March 2020. Especially Bitcoin, BNB and Ethereum show comparable and even more favorable return characteristics in most samples compared to traditional investment alternatives. Furthermore, the diversification potential of cryptocurrency portfolios appears to be quite limited. 2023 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41376280008 https://www.redalyc.org/journal/413/41376280008/ https://www.redalyc.org/journal/413/41376280008/html/ https://www.redalyc.org/journal/413/41376280008/41376280008.epub https://www.redalyc.org/journal/413/41376280008/movil 10.24275/uam/azc/dcsh/ae/2023v38n99/Demmler en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.99 Vol.XXXVIII |
| format | Artículo científico |
| id | redalyc_41376280008 |
| institution | Redalyc |
| language | en |
| publishDate | 2023 |
| publisher | Universidad Autónoma Metropolitana |
| spellingShingle | Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design Michael Demmler Economía y Finanzas covid 19 pandemic Cryptocurrency return analysis portfolio analysis Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design Michael Demmler Economía y Finanzas covid 19 pandemic Cryptocurrency return analysis portfolio analysis This study explores the financial performance of cryptocurrencies during the COVID-19 pandemic. In particular, the research objective is to compare the market price movements of the leading cryptocurrencies Bitcoin, Ethereum, BNB and XRP before and during the COVID-19 pandemic based on a longitudinal, exploratory, and quantitative research design which is centered on the analysis of the statistical moments of logarithmic return distributions, tests for structural changes combined with stationarity tests and portfolio optimization strategies. Results of the analysis show a clear change of the medium- to long-term return behavior of the analyzed cryptocurrencies during the pandemic, although not immediately after the pandemic announcement of the WHO in March 2020. Especially Bitcoin, BNB and Ethereum show comparable and even more favorable return characteristics in most samples compared to traditional investment alternatives. Furthermore, the diversification potential of cryptocurrency portfolios appears to be quite limited. 2023 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41376280008 https://www.redalyc.org/journal/413/41376280008/ https://www.redalyc.org/journal/413/41376280008/html/ https://www.redalyc.org/journal/413/41376280008/41376280008.epub https://www.redalyc.org/journal/413/41376280008/movil 10.24275/uam/azc/dcsh/ae/2023v38n99/Demmler en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.99 Vol.XXXVIII |
| title | Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design |
| topic | Economía y Finanzas covid 19 pandemic Cryptocurrency return analysis portfolio analysis |
| url | https://www.redalyc.org/articulo.oa?id=41376280008 https://www.redalyc.org/journal/413/41376280008/ https://www.redalyc.org/journal/413/41376280008/html/ https://www.redalyc.org/journal/413/41376280008/41376280008.epub https://www.redalyc.org/journal/413/41376280008/movil |