Comparison of Crypto-Assets Market Risk Proxies
In early 2021, the cryptoasset market capitalization exceeded $1.5 trillion, and there were more than 300 exchanges in the world where over 8,000 tokens could be traded. As part of research related to mature segments of the financial market (e.g. the stock market in the United States), scientists an...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2021-01-01
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| Series: | Nauki o Finansach |
| Online Access: | https://journals.ue.wroc.pl/fins/article/view/217 |
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| _version_ | 1850130662164529152 |
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| author | Aleksander Mercik Daniel Cupriak |
| author_facet | Aleksander Mercik Daniel Cupriak |
| author_sort | Aleksander Mercik |
| collection | DOAJ |
| description | In early 2021, the cryptoasset market capitalization exceeded $1.5 trillion, and there were more than 300 exchanges in the world where over 8,000 tokens could be traded. As part of research related to mature segments of the financial market (e.g. the stock market in the United States), scientists and practitioners have been trying to identify key risk factors for several decades, thanks to which it is possible to explain the equity risk premium for an investment in a given asset class. In recent years, there have been an increasing number of researchers trying to identify these factors for cryptoassets. The aim of this article was to analyse popular cryptoasset indices in order to identify those that can be used as a proxy of the market portfolio in order to estimate this risk factor premium. The research results indicate that the market risk factor is an important element of the market under study, and the indices that best reflect it are an index consisting of all cryptoassets weighted by capitalization and Coin100 which contains only the 100 largest cryptoassets.(original abstract) |
| format | Article |
| id | doaj-art-fa70fbb7bc12473bb8b5e2979c6927f8 |
| institution | OA Journals |
| issn | 2449-9811 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu |
| record_format | Article |
| series | Nauki o Finansach |
| spelling | doaj-art-fa70fbb7bc12473bb8b5e2979c6927f82025-08-20T02:32:38ZengWydawnictwo Uniwersytetu Ekonomicznego we WrocławiuNauki o Finansach2449-98112021-01-01261218Comparison of Crypto-Assets Market Risk ProxiesAleksander Mercik0Daniel Cupriak1Wrocław University of Economics and Business, PolandWrocław University of Economics and BusinessIn early 2021, the cryptoasset market capitalization exceeded $1.5 trillion, and there were more than 300 exchanges in the world where over 8,000 tokens could be traded. As part of research related to mature segments of the financial market (e.g. the stock market in the United States), scientists and practitioners have been trying to identify key risk factors for several decades, thanks to which it is possible to explain the equity risk premium for an investment in a given asset class. In recent years, there have been an increasing number of researchers trying to identify these factors for cryptoassets. The aim of this article was to analyse popular cryptoasset indices in order to identify those that can be used as a proxy of the market portfolio in order to estimate this risk factor premium. The research results indicate that the market risk factor is an important element of the market under study, and the indices that best reflect it are an index consisting of all cryptoassets weighted by capitalization and Coin100 which contains only the 100 largest cryptoassets.(original abstract)https://journals.ue.wroc.pl/fins/article/view/217 |
| spellingShingle | Aleksander Mercik Daniel Cupriak Comparison of Crypto-Assets Market Risk Proxies Nauki o Finansach |
| title | Comparison of Crypto-Assets Market Risk Proxies |
| title_full | Comparison of Crypto-Assets Market Risk Proxies |
| title_fullStr | Comparison of Crypto-Assets Market Risk Proxies |
| title_full_unstemmed | Comparison of Crypto-Assets Market Risk Proxies |
| title_short | Comparison of Crypto-Assets Market Risk Proxies |
| title_sort | comparison of crypto assets market risk proxies |
| url | https://journals.ue.wroc.pl/fins/article/view/217 |
| work_keys_str_mv | AT aleksandermercik comparisonofcryptoassetsmarketriskproxies AT danielcupriak comparisonofcryptoassetsmarketriskproxies |