Can We Predict the Returns of Crypto-Currencies?
Abstract/Contents
- Abstract
- In this thesis I investigate the extent to which we can predict the market outcomes of cryptocurrencies. I focus on the two currently most prominent cryptocurrencies: Bitcoin and Ethereum. In the first part of the thesis I investigate whether the price levels of Bitcoin and Ethereum satisfy the weak form of the Efficient Market Hypothesis. I find evidence of weak-form efficiency in the market for cryptocurrencies. In the second part of the thesis I ask whether cryptocurrencies are viewed as an hedging vehicle against the mainstream economy. To answer this question I explore the association between market outcomes for Bitcoin and Ethereum and the Yield Curve. I find limited evidence of an association between the cryptocurrencies market and the Yield Curve. In the third part of the thesis I ask whether the market for cryptocurrencies is driven by noise traders. To answer that I explore the association between market outcomes for cryptocurrencies and qualitative information from Google searches. I find evidence of strong predictability of the price and transaction volume of Bitcoin by indexized Google searches, suggesting that the fashionability and popularity of Bitcoin go hand in hand.
Description
| Type of resource | text |
|---|---|
| Date created | May 22, 2019 |
Creators/Contributors
| Author | Lumsden, Robin |
|---|---|
| Primary advisor | Athey, Susan |
| Degree granting institution | Stanford University, Public Policy Program |
Subjects
| Subject | Stanford University |
|---|---|
| Subject | Humanities and Sciences |
| Subject | Public Policy Program |
| Subject | Bitcoin |
| Subject | Ethereum |
| Genre | Thesis |
Bibliographic information
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- License
- This work is licensed under a Creative Commons Attribution 3.0 Unported license (CC BY).
Collection
Stanford University, Public Policy Program, Masters Theses and Practicum Projects
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- Contact
- robin@lumsden.at
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