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Cryptocurrencies: Stylized facts on a new investible instrument
Author(s) -
Hu Albert S.,
Parlour Christine A.,
Rajan Uday
Publication year - 2019
Publication title -
financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.647
H-Index - 68
eISSN - 1755-053X
pISSN - 0046-3892
DOI - 10.1111/fima.12300
Subject(s) - stylized fact , cryptocurrency , sample (material) , economics , capital asset pricing model , econometrics , financial economics , investment (military) , secondary market , asset (computer security) , monetary economics , finance , computer science , macroeconomics , computer security , chemistry , chromatography , politics , political science , stock exchange , law
We present stylized facts on the asset pricing properties of cryptocurrencies: summary statistics on cryptocurrency return properties and measures of common variation for secondary market returns on 222 digital coins. In our sample, secondary market returns of all other currencies are strongly correlated with Bitcoin returns. We also provide some investment characteristics of a sample of 64 initial coin offerings.