Various Financial Aspects of Cryptocurrencies

<p>In this dissertation, I focus on various financial aspects of cryptocurrencies that could help investors in taking appropriate decisions about cryptocurrency investments. In addition, I present stylized facts about cryptocurrency markets as a contribution towards the formation of a price theory. I start by giving a brief overview of the working and technical aspects of cryptocurrencies. Subsequently, I look at comovements between nine major cryptocurren- cies and mark instability periods in cryptocurrency markets. I find out that cryptocurrency markets have gone through three phases of comovement evolution, and almost all cryptocur- rencies analyzed have periods of instability. Then I pivot towards empirically evaluating five different portfolios of conventional assets, albeit with the inclusion of cryptocurrencies the possibility of including cryptocurrencies with five different portfolios of conventional assets. I find out that including cryptocurrencies in a portfolio is indeed beneficial in increasing returns irrespective of ones risk preference (assuming the willingness to take floor base risk). The last chapter is focused on analyzing the tail dependencies between cryptocurrencies. This analysis helps in understanding the possibility of spillovers between cryptocurrencies during extreme events. Notably, a majority of cryptocurrencies start with a low chance of spillovers, but the probability increases as they evolve.</p>

Name thesis:degree_name

Economics, PhD

Level thesis:degree_level

Restricted to Claremont Colleges Dissertation

Discipline thesis:degree_discipline

School of Social Science, Politics, and Evaluation

Year dc:date.available

2020

Author dc:creator

• Rao, Jayant

Contributors dc:contributor

• Tom Willett
• John Rutledge
• Hisam Sabouni

• Copula
• Cryptocurrencies
• Instability
• Portfolio Management
• Tail Dependence

Repository record dc:identifier

https://scholarship.claremont.edu/cgu_etd/288

OAI identifier oai:identifier

oai:scholarship.claremont.edu:cgu_etd-1288