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Return factors of Ether cryptocurrency: on chain metrics and DeFi

Author

Listed:
  • Shilov, Kirill (Шилов, Кирилл)

    (The Russian Presidential Academy of National Economy and Public Administration)

  • Zubarev, Andrey (Зубарев, Андрей)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

In this study, we analyse whether such inner features of Ethereum blockchain as creation of smart contracts and decentralized applications influence in any way the price dynamics of Ethereum’s native cryptocurrency Ether or the latter can be mainly explained by the cryptocurrency market movements. Our results show that various on-chain metrics and total value locked in Ethereum’s DeFi protocols are almost insignificantly correlated with Ether returns on daily and weekly data. The corresponding regression models are also not able to explain a sufficient part of the variation of Ether returns relative to USD and BTC.

Suggested Citation

  • Shilov, Kirill (Шилов, Кирилл) & Zubarev, Andrey (Зубарев, Андрей), 2023. "Return factors of Ether cryptocurrency: on chain metrics and DeFi," Working Papers w20220221, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220221
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    File URL: https://repec.ranepa.ru/rnp/wpaper/w20220221.pdf
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    References listed on IDEAS

    as
    1. Lennart Ante, 2022. "The Non-Fungible Token (NFT) Market and Its Relationship with Bitcoin and Ethereum," FinTech, MDPI, vol. 1(3), pages 1-9, June.
    2. Corbet, Shaen & Goodell, John W. & Günay, Samet, 2022. "What drives DeFi prices? Investigating the effects of investor attention," Finance Research Letters, Elsevier, vol. 48(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    cryptocurrency; blockchain; Ethereum; Bitcoin; financial markets; financial assets;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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