Cryptocurrency Investment Features

Student: Potapenko Maksim

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 7

Year of Graduation: 2019

This study presents an analysis of the cryptocurrency market statistical characteristics. The work focuses on a comprehensive evaluation of the cryptocurrency market, an evaluation of the market volatility trend and a search for dependencies on other markets. The paper describes the theoretical and fundamental foundations of modern cryptocurrencies, the history of their development and already done researches of the most popular cryptocurrencies. It also describes in details the selection and data processing, the creation of a cryptocurrency index which reflect the biggest part of the cryptocurrency market. The created cryptocurrency index was used for the future evaluation of market volatility and for evaluation of the global cryptocurrency market dependence on the world stock market. Daily return volatility of cryptocurrency was evaluated by using GARCH – models. The evaluation showed that the volatility of cryptocurrency market has a downward trend, while the volatility of the world stock market has no long-term downward or upward trend. The hypothesis about the dependence of cryptocurrency price volatility on their trading volumes was denied. The hypothesis that there is a correlation between cryptocurrency and stock markets also was denied.

Full text (added May 24, 2019)

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