Essays on efficiency, hedging effectiveness, and volatility dynamics in cryptocurrency markets

Abstract

This thesis contains four chapters. The first chapter introduces the background of the Bitcoin platform. The second chapter examines whether Bitcoin market is efficient by considering intra-day open, high, low and close prices. The third chapter examines the dynamic relationship between Bitcoin and Litecoin in both short run and long run by employing VARX-MGARCH-Mean model. The spillover effects are significant in both direction. For the examined time period, the covariance between Bitcoin return and the Litecoin return is not stable in the long run. The last chapter examines the hedging capability of Bitcoin and Litecoin as a cryptocurrency portfolio. Results suggest Bitcoin and Litecoin have hedging capability against some financial assets.

Date of Award	1 May 2018
Original language	English
Awarding Institution	University of Bath
Supervisor	Nikolaos Sakkas (Supervisor) & Christos Ioannidis (Supervisor)