Efficiency of cryptocurrency exchanges
: Risk exposure analysis of identical assets

  • Oskar Liljeström

    Student thesis: Bachelor

    Abstract

    The cryptocurrency market is continuously growing but is still a relatively unexplored field within academic research. The ambition with this thesis is to increase existing research on market efficiency of cryptocurrencies, by studying the risk exposure of identical investments between different cryptocurrency exchanges. The study includes four cryptocurrencies and nine different exchanges, the data is tested on a full sample period and two subsample periods. The results reveal significant Sharpe ratio differences for identical investments on selected exchanges, but also improved efficiency between the first and second subsample periods. The study concludes that there are significant market inefficiencies on the cryptocurrency market, but the results also suggests that the market is becoming more efficient over time.

    Date of Award2019-Oct-15
    Original languageEnglish
    SupervisorAnamaria Cociorva (Supervisor), Emil Numminen (Supervisor) & Heléne Tjärnemo (Examiner)

    Educational program

    • Degree of Bachelor of Science in Business and Economics

    University credits

    • 15 HE credits

    Swedish Standard Keywords

    • Economics and Business (502)

    Keywords

    • alternative investment
    • bitcoin
    • cryptocurrency
    • ethereum
    • market efficiency
    • sharpe ratio

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