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Efficiency of cryptocurrency exchanges: Risk exposure analysis of identical assets
Högskolan Kristianstad, Fakulteten för ekonomi.
2019 (engelsk)Independent thesis Basic level (degree of Bachelor), 10 poäng / 15 hpOppgave
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.

sted, utgiver, år, opplag, sider
2019. , s. 40
Emneord [en]
Alternative investment, Bitcoin, Cryptocurrency, Ethereum, Market efficiency, Sharpe ratio
HSV kategori
Identifikatorer
URN: urn:nbn:se:hkr:diva-20048OAI: oai:DiVA.org:hkr-20048DiVA, id: diva2:1360692
Fag / kurs
Banking and financing
Utdanningsprogram
Degree of Bachelor of Science in Business and Economics
Veileder
Examiner
Tilgjengelig fra: 2019-10-15 Laget: 2019-10-14 Sist oppdatert: 2019-10-15bibliografisk kontrollert

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Efficiency of cryptocurrency exchanges(1077 kB)39 nedlastinger
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