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Are cryptocurrencies homogeneous?

Bengtsson, Elias LU and Gustafsson, Frida (2023) In European Financial Management 29(1).
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... (More)
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.
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Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
European Financial Management
volume
29
issue
1
publisher
Wiley-Blackwell
external identifiers
  • scopus:85140264963
ISSN
1354-7798
DOI
10.1111/eufm.12399
language
English
LU publication?
yes
id
e69031e6-90e5-4932-9daa-dedd3bcf6c73
date added to LUP
2023-10-05 09:24:21
date last changed
2023-10-06 04:00:20
@article{e69031e6-90e5-4932-9daa-dedd3bcf6c73,
  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.<br/>}},
  author       = {{Bengtsson, Elias and Gustafsson, Frida}},
  issn         = {{1354-7798}},
  language     = {{eng}},
  number       = {{1}},
  publisher    = {{Wiley-Blackwell}},
  series       = {{European Financial Management}},
  title        = {{Are cryptocurrencies homogeneous?}},
  url          = {{http://dx.doi.org/10.1111/eufm.12399}},
  doi          = {{10.1111/eufm.12399}},
  volume       = {{29}},
  year         = {{2023}},
}