{"title":"加密货币资产定价分析:来自泰国市场的证据","authors":"Kanyawut Ariya, Nathee Naktnasukanjn, Tanarat Rattanadamrongaksorn, Piyachat Udomwong, Saronsad Sokantika, N. Chakpitak","doi":"10.1109/iSAI-NLP51646.2020.9376813","DOIUrl":null,"url":null,"abstract":"Can cryptocurrencies price variations be explained by exogenous classical market prices? We evaluate this issue by using daily data on some of the most important asset prices and indexes in Thailand i.e. Gold, Oil, SET50 index, Tourism index, Mutual fund, and THB/USD exchange rate in comparison with digital asset prices i.e. Bitcoin, Ethereum, Litecoin, Ripple, DASH, and Stellar. By performing both direct and inverse relationships using correlation matrix to find distance relationship and using minimum spanning tree to find the closest path between assets, we found strong direct relationship among cryptocurrencies in digital market with SET50 index and oil price in classical markets. We also found that THB-USD exchange rate has inverse relationship with Bitcoin price, SET50 index and oil price. There is a link between cryptocurrencies asset price and some classical assets’ market price.","PeriodicalId":311014,"journal":{"name":"2020 15th International Joint Symposium on Artificial Intelligence and Natural Language Processing (iSAI-NLP)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Cryptocurrencies Asset Pricing Analysis: evidence from Thailand markets\",\"authors\":\"Kanyawut Ariya, Nathee Naktnasukanjn, Tanarat Rattanadamrongaksorn, Piyachat Udomwong, Saronsad Sokantika, N. Chakpitak\",\"doi\":\"10.1109/iSAI-NLP51646.2020.9376813\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Can cryptocurrencies price variations be explained by exogenous classical market prices? We evaluate this issue by using daily data on some of the most important asset prices and indexes in Thailand i.e. Gold, Oil, SET50 index, Tourism index, Mutual fund, and THB/USD exchange rate in comparison with digital asset prices i.e. Bitcoin, Ethereum, Litecoin, Ripple, DASH, and Stellar. By performing both direct and inverse relationships using correlation matrix to find distance relationship and using minimum spanning tree to find the closest path between assets, we found strong direct relationship among cryptocurrencies in digital market with SET50 index and oil price in classical markets. We also found that THB-USD exchange rate has inverse relationship with Bitcoin price, SET50 index and oil price. There is a link between cryptocurrencies asset price and some classical assets’ market price.\",\"PeriodicalId\":311014,\"journal\":{\"name\":\"2020 15th International Joint Symposium on Artificial Intelligence and Natural Language Processing (iSAI-NLP)\",\"volume\":\"23 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-11-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2020 15th International Joint Symposium on Artificial Intelligence and Natural Language Processing (iSAI-NLP)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/iSAI-NLP51646.2020.9376813\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 15th International Joint Symposium on Artificial Intelligence and Natural Language Processing (iSAI-NLP)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/iSAI-NLP51646.2020.9376813","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Cryptocurrencies Asset Pricing Analysis: evidence from Thailand markets
Can cryptocurrencies price variations be explained by exogenous classical market prices? We evaluate this issue by using daily data on some of the most important asset prices and indexes in Thailand i.e. Gold, Oil, SET50 index, Tourism index, Mutual fund, and THB/USD exchange rate in comparison with digital asset prices i.e. Bitcoin, Ethereum, Litecoin, Ripple, DASH, and Stellar. By performing both direct and inverse relationships using correlation matrix to find distance relationship and using minimum spanning tree to find the closest path between assets, we found strong direct relationship among cryptocurrencies in digital market with SET50 index and oil price in classical markets. We also found that THB-USD exchange rate has inverse relationship with Bitcoin price, SET50 index and oil price. There is a link between cryptocurrencies asset price and some classical assets’ market price.
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