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Pricing on Cryptocurrencies
Anastasiia Zbandut
With the first decentral blockchain project Bitcoin in 2008, the eco system of the digital money world faced accelerating development. Now, there more than 7,000 different cryptocurrencies traded around the world and around the clock. Growing popularity in not only investing activities as well as its public and free access to vast amount on various data starting from price history, blockchain related data, social activities and even anonymous records on all wallet addresses, motivated researches worldwide to test the well-established financial theory on a new financial market. The most prominent question in this field is how to price a cryptocurrency? There is strong evidence that the behaviour of cryptocurrency prices differs from those of stocks. Most asset pricing models developed to explain stock price differences, fail to explain differences in cryptocurrency prices. Härdle/Harvey/Reule 2020 one of the first to offer a classification of cryptocurrencies depending not only on its consensus mechanism, but rather the purpose and use of a particular cryptocurrency. With this classification, authors highlight the fact that cryptocurrencies should not be allocated into one basket and that there are fundamental differences that should be accounted for when establishing an asset pricing model. This research contributes to the fast-growing literature in pricing on cryptocurrencies by considering cryptocurrency specific characteristics related to its blockchain, such as hash rate, share of active addresses and share of large investments as well as influences of social media, i.e. amount of reddit comments. Additionally, the analysis takes into consideration variables representing the cryptocurrency market as a whole, these are the performance of the cryptocurrency market portfolio, size premium and traded volume. Moreover, this is the first paper that includes explanatory variables into the AR-(E/GJR) GARCH model in attempt to find common and cryptocurrency specific factors that play a role in pricing these assets.

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