Date of Award

Fall 2020

Degree Type

Restricted to Claremont Colleges Dissertation

Degree Name

Economics, PhD

Program

School of Social Science, Politics, and Evaluation

Advisor/Supervisor/Committee Chair

Pierangelo De Pace

Dissertation or Thesis Committee Member

Tom Willett

Dissertation or Thesis Committee Member

John Rutledge

Dissertation or Thesis Committee Member

Hisam Sabouni

Terms of Use & License Information

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Rights Information

2020 Jayant Rao

Keywords

Copula, Cryptocurrencies, Instability, Portfolio Management, Tail Dependence

Abstract

In this dissertation, I focus on various financial aspects of cryptocurrencies that could help investors in taking appropriate decisions about cryptocurrency investments. In addition, I present stylized facts about cryptocurrency markets as a contribution towards the formation of a price theory. I start by giving a brief overview of the working and technical aspects of cryptocurrencies. Subsequently, I look at comovements between nine major cryptocurren- cies and mark instability periods in cryptocurrency markets. I find out that cryptocurrency markets have gone through three phases of comovement evolution, and almost all cryptocur- rencies analyzed have periods of instability. Then I pivot towards empirically evaluating five different portfolios of conventional assets, albeit with the inclusion of cryptocurrencies the possibility of including cryptocurrencies with five different portfolios of conventional assets. I find out that including cryptocurrencies in a portfolio is indeed beneficial in increasing returns irrespective of ones risk preference (assuming the willingness to take floor base risk). The last chapter is focused on analyzing the tail dependencies between cryptocurrencies. This analysis helps in understanding the possibility of spillovers between cryptocurrencies during extreme events. Notably, a majority of cryptocurrencies start with a low chance of spillovers, but the probability increases as they evolve.

ISBN

9798557030236

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