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Cryptocurrencies: formation of returns from the CRIX index

Author

Listed:
  • Ricardo de Souza Tavares
  • João Frois Caldeira
  • Gerson de Souza Raimundo Júnior

Abstract

This paper examines the formation prices in the cryptocurrency market using the CAPM model based on OLS and Regime-Switching approaches. Following Baek & Elbeck’s argument that internal factors drove cryptocurrency returns, CAPM was built, taking the CRIX index as the market and ten cryptocurrencies as assets. The results suggest that the market risk factor can partially explain cryptocurrency returns. Moreover, the regime change estimation positively impacts the market risk determination power for cryptocurrencies.

Suggested Citation

  • Ricardo de Souza Tavares & João Frois Caldeira & Gerson de Souza Raimundo Júnior, 2021. "Cryptocurrencies: formation of returns from the CRIX index," Applied Economics Letters, Taylor & Francis Journals, vol. 28(8), pages 691-695, May.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:8:p:691-695
    DOI: 10.1080/13504851.2020.1770680
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    Cited by:

    1. Syed Riaz Mahmood Ali, 2022. "Herding in different states and terms: evidence from the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 322-336, July.
    2. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

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