Georgiadis, Theodoros

2021-09-20T12:24:45Z

https://repository.ihu.edu.gr//xmlui/handle/11544/29867

Cryptocurrencies

masterThesis

2021-06-22

free

School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance

Cryptocurrencies, or plainly stated hereof as “Cryptos”, have always been at the center of attention for numerous institutional and individual investors, since their inceptions and categorization as digital currencies. Nowadays, cryptocurrencies market is mostly like a global hotspot. Albeit, they have recently been regulated by numerous financial institutions worldwide. The global regulatory framework imposed by banks, classified them as unique digital currencies or digital currency schemes. Moreover, their lucrative returns are extremely high and volatile compared to the ones of major global stock indices and gold. Our sample comprises of three of the oldest cryptocurrencies: Bitcoin, XRP and Litecoin, totaling a 70% market share. We include observations from the period from October 1, 2013 till October 1, 2020 and we treat them as our dependent variables. Our explanatory variables are of the same period of examination and consist of six global stock indices, being: S&P 500 (United States of America, U.S.A.), FTSE 100 (United Kingdom, U.K.), S&P/ASX 200 (Australia), STOXX50E (Europe), Nikkei 225 (Japan), HSI (Hang Sheng Index, Hong Kong) and the commodity of gold. By applying a General AutoRegressive Conditional Heteroskedasticity (“GARCH”), we analyze the total risk and the relationship between the returns’ volatility of the three cryptocurrencies and the influence of returns of the six stock indices and gold upon them. Our results are adequately backed by prior research that indicates cryptocurrencies, in their vast majority, are not strongly interrelated with the stock markets and gold, even after the force-majeure strike of the newly pandemic COVID-19. Therefore, they are located somewhere in between, creating a new, unique asset class, a new investment opportunity.

Andrikopoulos, Andreas

Chantziaras, Antonios

ihu