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Cryptocurrencies and Gold – Similarities and Differences
This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin). To do so, we estimate a system-GARCH-in-mean with respect to four determinants for the period starting 7/18/2014 at earliest until 7/12/2021. We find that,...
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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 28-2021) |
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| Autor principal: | |
| Formato: | Artigo |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2021
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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| Resumo: | This article investigates similarities and differences between gold and four
cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin). To do so,
we estimate a system-GARCH-in-mean with respect to four determinants for
the period starting 7/18/2014 at earliest until 7/12/2021. We find that, first,
liquidity premia are less important. Second, volatility premia exist in either
gold and cryptocurrencies. Third, the response of cryptocurrencies to ex-
change rate changes is more pronounced than for gold at least if developing
countries are included. Fourth, gold exhibits a safe haven status, while cryptocurrencies do not. So those cannot be seen as a store of value but rather as speculative assets. |
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| Descrição Física: | 21 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0701 |