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PUEB research projects

Cross-Sectional Properties of Cryptocurrency Returns

Source of funding: National Science Centre, Poland

Funding Scheme: OPUS 21

Project ID number: 2021/41/B/HS4/02443

Start date: 26.01.2022

Finish date: 25.01.2025

Amount of funding: 483 212,00 PLN

General description:
In recent years, cryptocurrencies have attracted significant interest from academics, investors, and regulators alike. Cryptocurrencies, also commonly referred to as “coins,” are peer-to-peer electronic cash systems that enable online payments that are sent directly without the intermediation of financial institutions. Importantly, contrary to many other asset classes, cryptocurrencies have no association with higher authority, are indefinitely divisible, and have no physical representation. Their value depends on the security of an algorithm allowing to trace transactions and not on any tangible assets, firm’s financial standing, or country credibility. The rapid increase in the popularity of coins may result from their unique features: government-free design, peer-to-peer system, and minimal transaction costs.
This research project aims at performing a comprehensive examination of cross-sectional return predictability in the cryptocurrency markets. Not only will we examine a range of return regularities, but we will also use them as a novel research universe for further examinations of their properties, including their predictability, the impact of trading costs, and illiquidity on their performance as well as links between different asset classes.
Principal Investigator:
dr hab. Barbara Zofia Będowska-Sójka
Department of Econometri

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Co-Investigators:
dr hab. Adam Zaremba, prof. UEP
Department of Investments and Financial Markets
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