One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

IF 0.9 Q3 ECONOMICS

Economic Papers Pub Date : 2020-04-21 DOI:10.1111/1759-3441.12282

Lee Alan Smales

引用次数: 0

Abstract

We utilise principal component analysis to determine whether a (small) set of factors can explain cryptocurrency returns and whether this varies over time. We find that a substantial proportion of cryptocurrency return variation is explained by a single principal component that is highly correlated with bitcoin returns. The explanatory power of this factor is greatest for larger cryptocurrencies and increases markedly in the most recent part of the sample. Our results have implications for investors determining optimal portfolio decisions and for policy-makers wary of systemic risk.

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一种加密货币可以解释这一切?理解比特币在加密货币回报中的重要性

我们利用主成分分析来确定一组(小)因素是否可以解释加密货币的回报，以及这是否会随着时间的推移而变化。我们发现，加密货币回报变化的很大一部分可以用一个与比特币回报高度相关的主成分来解释。对于较大的加密货币，这一因素的解释力最大，并且在样本的最近部分显着增加。我们的研究结果对投资者确定最佳投资组合决策和警惕系统性风险的政策制定者具有启示意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Papers ECONOMICS-

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： Economic Papers is one of two journals published by the Economics Society of Australia. The journal features a balance of high quality research in applied economics and economic policy analysis which distinguishes it from other Australian journals. The intended audience is the broad range of economists working in business, government and academic communities within Australia and internationally who are interested in economic issues related to Australia and the Asia-Pacific region. Contributions are sought from economists working in these areas and should be written to be accessible to a wide section of our readership. All contributions are refereed.