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Efficiency of cryptocurrency exchanges: Risk exposure analysis of identical assets
Kristianstad University, Faculty of Business.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The cryptocurrency market is continuously growing but is still a relatively unexplored field within academic research. The ambition with this thesis is to increase existing research on market efficiency of cryptocurrencies, by studying the risk exposure of identical investments between different cryptocurrency exchanges. The study includes four cryptocurrencies and nine different exchanges, the data is tested on a full sample period and two subsample periods. The results reveal significant Sharpe ratio differences for identical investments on selected exchanges, but also improved efficiency between the first and second subsample periods. The study concludes that there are significant market inefficiencies on the cryptocurrency market, but the results also suggests that the market is becoming more efficient over time.

Place, publisher, year, edition, pages
2019. , p. 40
Keywords [en]
Alternative investment, Bitcoin, Cryptocurrency, Ethereum, Market efficiency, Sharpe ratio
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hkr:diva-20048OAI: oai:DiVA.org:hkr-20048DiVA, id: diva2:1360692
Subject / course
Banking and financing
Educational program
Degree of Bachelor of Science in Business and Economics
Supervisors
Examiners
Available from: 2019-10-15 Created: 2019-10-14 Last updated: 2019-10-15Bibliographically approved

Open Access in DiVA

Efficiency of cryptocurrency exchanges(1077 kB)21 downloads
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Liljeström, Oskar
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf