Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244357 
Autor:innen: 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 28-2021
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
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 cryp- tocurrencies do not. So those cannot be seen as a store of value but rather as speculative assets.
Schlagwörter: 
Cryptocurrencies
Gold
System-GARCH-in-mean
JEL: 
E42
G15
C58
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
529.4 kB





Publikationen in EconStor sind urheberrechtlich geschützt.