ETF construction on CRIX
Abstract We construct an exchange-traded fund (ETF) based on the CRyptocurrency IndeX (CRIX), which closely maps nonstationary cryptocurrency (CC) dynamics by adapting the weights of its constituents dynamically. Our scenario analysis considers the fee schedules of regulated CC exchanges, spreads ob...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-03-01
|
| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-025-00762-3 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850072175967469568 |
|---|---|
| author | Konstantin Häusler Wolfgang Härdle |
| author_facet | Konstantin Häusler Wolfgang Härdle |
| author_sort | Konstantin Häusler |
| collection | DOAJ |
| description | Abstract We construct an exchange-traded fund (ETF) based on the CRyptocurrency IndeX (CRIX), which closely maps nonstationary cryptocurrency (CC) dynamics by adapting the weights of its constituents dynamically. Our scenario analysis considers the fee schedules of regulated CC exchanges, spreads obtained from order book data, and investment in- & outflows to the ETF are modelled stochastically. The scenario analysis yields valuable insights into the mechanisms, costs, and risks of this innovative financial product: i) although the composition of the CRIX ETF changes frequently (from 5 to 30 constituents), it remains robust in its core, as the weights of Bitcoin (BTC) and Ethereum (ETH) are robust over time; ii) on average, 5.2% needs to be rebalanced on the rebalancing dates; iii) trading costs are low compared with traditional assets; iv) the liquidity of the CC sector increases significantly during the analysis period; spreads occur, especially for altcoins and increase with the size of the transactions. However, because BTC and ETH are the most affected by rebalancing, the cost of spreads remains limited. |
| format | Article |
| id | doaj-art-8db2db94de33452e9194f616cc1b71f7 |
| institution | DOAJ |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-8db2db94de33452e9194f616cc1b71f72025-08-20T02:47:07ZengSpringerOpenFinancial Innovation2199-47302025-03-0111112110.1186/s40854-025-00762-3ETF construction on CRIXKonstantin Häusler0Wolfgang Härdle1IRTG 1792, School of Business and Economics, Humboldt-Universität zu BerlinW.I.S.E. - Wang Yanan Institute for Studies in Economics, Xiamen UniversityAbstract We construct an exchange-traded fund (ETF) based on the CRyptocurrency IndeX (CRIX), which closely maps nonstationary cryptocurrency (CC) dynamics by adapting the weights of its constituents dynamically. Our scenario analysis considers the fee schedules of regulated CC exchanges, spreads obtained from order book data, and investment in- & outflows to the ETF are modelled stochastically. The scenario analysis yields valuable insights into the mechanisms, costs, and risks of this innovative financial product: i) although the composition of the CRIX ETF changes frequently (from 5 to 30 constituents), it remains robust in its core, as the weights of Bitcoin (BTC) and Ethereum (ETH) are robust over time; ii) on average, 5.2% needs to be rebalanced on the rebalancing dates; iii) trading costs are low compared with traditional assets; iv) the liquidity of the CC sector increases significantly during the analysis period; spreads occur, especially for altcoins and increase with the size of the transactions. However, because BTC and ETH are the most affected by rebalancing, the cost of spreads remains limited.https://doi.org/10.1186/s40854-025-00762-3CryptocurrencyETFCRIXMarket dynamics |
| spellingShingle | Konstantin Häusler Wolfgang Härdle ETF construction on CRIX Financial Innovation Cryptocurrency ETF CRIX Market dynamics |
| title | ETF construction on CRIX |
| title_full | ETF construction on CRIX |
| title_fullStr | ETF construction on CRIX |
| title_full_unstemmed | ETF construction on CRIX |
| title_short | ETF construction on CRIX |
| title_sort | etf construction on crix |
| topic | Cryptocurrency ETF CRIX Market dynamics |
| url | https://doi.org/10.1186/s40854-025-00762-3 |
| work_keys_str_mv | AT konstantinhausler etfconstructiononcrix AT wolfganghardle etfconstructiononcrix |