Λέσχη Φίλων Στατιστικής - GrStats forum
AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou Forumgrstats

Join the forum, it's quick and easy

Λέσχη Φίλων Στατιστικής - GrStats forum
AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou Forumgrstats
Λέσχη Φίλων Στατιστικής - GrStats forum
Would you like to react to this message? Create an account in a few clicks or log in to continue.
Για προβλήματα εγγραφής και άλλες πληροφορίες επικοινωνήστε με : grstats.forum@gmail.com ή grstats@stat-athens.aueb.gr

Go down
grstats
grstats
Posts : 934
Join date : 2009-10-21
http://stat-athens.aueb.gr/~grstats/

AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou Empty Re: AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou

Fri 18 May 2018 - 23:09
Έγινε αλλαγή αίθουσας και ώρας. Νέα αίθουσα ΑΙΘΟΥΣΑ Δ24, 2ος ΟΡΟΦΟΣ,
ΚΕΝΤΡΙΚΟ ΚΤΙΡΙΟ ΟΠΑ (ΠΑΤΗΣΙΩΝ 76)
Νέα ώρα 13.00
grstats
grstats
Posts : 934
Join date : 2009-10-21
http://stat-athens.aueb.gr/~grstats/

AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou Empty AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou

Wed 25 Apr 2018 - 16:46
ΚΥΚΛΟΣ ΣΕΜΙΝΑΡΙΩΝ ΣΤΑΤΙΣΤΙΚΗΣ ΜΑΪΟΣ 2018

AUEB STATS SEMINARS 21/5/2018: Structural Breaks and Herding Behaviour in Cryptocurrencies by Dr. D. Asteriou Asteri10


Dimitrios Asteriou
Department of Accounting, Finance and Economics,Oxford Brookes University

Structural Breaks and Herding Behaviour in Cryptocurrencies

ΔΕΥΤΕΡΑ 21/5/2018
13:00

ΑΙΘΟΥΣΑ Δ24, 2ος ΟΡΟΦΟΣ,
ΚΕΝΤΡΙΚΟ ΚΤΙΡΙΟ ΟΠΑ
(ΠΑΤΗΣΙΩΝ 76)


ΠΕΡΙΛΗΨΗ

Blockchain technology created cryptocurrencies. In January 2018, Bitcoin gained attention, as the most known electronic currency with the highest capitalisation. This paper examines the characteristics of the main cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Stellar, NEM, Dash, Monero, Tether) from August 2015 to February 2018. Cryptocurrency index reported a structural break on January 2018, according to Chow breakpoint test. While Bitcoin was already on a steady decline since reaching its all-time high valuation, the magnitude of the situation worsened on January 15, 2018, as other major cryptocurrencies like Bitcoin Cash, Ripple and Litecoin followed its lead. However, Bai-Perron multiple break point tests do not provide evidence of any breakpoints. Apart from documenting stability diagnostics, this study provides evidence for the existence of herding effects in the cryptocurrency market. However, finally, asymmetric herding effects are not documented during the days of negative market returns.

Facebook event: https://www.facebook.com/events/605513996482856/
Back to top
Permissions in this forum:
You cannot reply to topics in this forum