Are cryptocurrencies homogeneous?
(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.
(Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/e69031e6-90e5-4932-9daa-dedd3bcf6c73
- author
- Bengtsson, Elias LU and Gustafsson, Frida
- organization
- publishing date
- 2023
- 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}}, }