Comparison of Crypto-Assets Market Risk Proxies

• Autorzy: Aleksander Mercik , Daniel Cupriak

Warianty tytułu

Analiza ryzyka rynkowego na rynku kryptoaktywów. Porównanie indeksów cyfrowych aktywów

• Języki publikacji: EN

Abstrakty

EN

In early 2021, the cryptoasset market capitalization exceeded $1.5 trillion, and there were more than 300 exchanges in the world where over 8,000 tokens could be traded. As part of research related to mature segments of the financial market (e.g. the stock market in the United States), scientists and practitioners have been trying to identify key risk factors for several decades, thanks to which it is possible to explain the equity risk premium for an investment in a given asset class. In recent years, there have been an increasing number of researchers trying to identify these factors for cryptoassets. The aim of this article was to analyse popular cryptoasset indices in order to identify those that can be used as a proxy of the market portfolio in order to estimate this risk factor premium. The research results indicate that the market risk factor is an important element of the market under study, and the indices that best reflect it are an index consisting of all cryptoassets weighted by capitalization and Coin100 which contains only the 100 largest cryptoassets.(original abstract)

Na początku 2021 r. kapitalizacja rynku kryptoaktywów przekroczyła 1,5 bln USD, a na świecie funkcjonowało ponad 300 giełd, na których można było handlować ponad 8 tys. tokenów. W ramach badań związanych z dojrzałymi segmentami rynku finansowego (np. rynek akcji w Stanach Zjednoczonych) naukowcy i praktycy od kilkudziesięciu lat starają się zidentyfikować kluczowe czynniki ryzyka, dzięki którym możliwe jest wyjaśnienie premii za ryzyko kapitałowe inwestycji w daną klasę aktywów. W ostatnich latach wzrasta liczba badaczy próbujących zidentyfikować te czynniki dla kryptoaktywów. Celem niniejszego artykułu była analiza popularnych indeksów kryptoaktywów i zidentyfikowanie tych, które mogą być wykorzystane jako proxy portfela rynkowego do oszacowania wspomnianej premii za czynniki ryzyka. Wyniki badań wskazują, że czynnik ryzyka rynkowego jest istotnym elementem badanego rynku, a indeksami, które najlepiej go odzwierciedlają, są indeks składający się ze wszystkich kryptoaktywów ważonych kapitalizacją oraz Coin100, który zawiera tylko 100 największych kryptoaktywów (abstrakt oryginalny)

Słowa kluczowe

EN

Cryptocurrencies; Risk; Valuation methodologies; Capital asset valuation

PL

Kryptowaluty; Ryzyko; Metodyka wyceny; Wycena aktywów kapitałowych

• Czasopismo: Nauki o Finansach / Uniwersytet Ekonomiczny we Wrocławiu
• Rocznik: 2021
• Tom: 26
• Numer: nr 1
• Strony: 56--72

Twórcy

autor

Aleksander Mercik

• Wrocław University of Economics and Business, Poland

autor

Daniel Cupriak

• Wrocław University of Economics and Business

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Identyfikatory

DOI

10.15611/fins.2021.1.04