Visa enkel post

dc.contributor.authorKirkinezos, Georgios
dc.contributor.authorSkora, Endri
dc.date.accessioned2021-06-30T12:28:47Z
dc.date.available2021-06-30T12:28:47Z
dc.date.issued2021-06-30
dc.identifier.urihttp://hdl.handle.net/2077/68937
dc.descriptionMSc in Financesv
dc.description.abstractIn recent years, Bitcoin has attracted a lot of interest from the media, academics and investors, but there is still skepticism and a lack of knowledge about how this cryptocurrency performed in the years leading up to and through the COVID-19 pandemic. The spread of COVID-19 in 2020, means that Bitcoin has been put to test under extreme financial conditions for the first time, and this thesis exploits this period to analyze how the COVID-19 crisis affected Bitcoin investors. As such, our thesis contributes to an understanding of how cryptocurrencies and especially Bitcoin investors react under high uncertainty. Using quantile autoregressive (QAR) models, we investigate the persistence of daily and weekly Bitcoin returns for the PreCOVID- 19 and the DuringCOVID-19 periods on the return distributions. We found that lower quantiles of the daily DuringCOVID-19 return distribution have positive correlation with previous negative returns. These findings point to overreaction in the Bitcoin market: investors overreact during days (DuringCOVID-19) where the Bitcoin price falls sharply. Additionally, stronger dependencies between returns were observed from DuringCOVID-19 data, suggesting higher investors’ overreaction during that period.sv
dc.language.isoengsv
dc.relation.ispartofseriesMaster Degree Projectsv
dc.relation.ispartofseries2021:144sv
dc.subjectCryptocurrenciessv
dc.subjectBitcoinsv
dc.subjectCOVID-19sv
dc.subjectinvestorssv
dc.subjectCryptocurrency Marketsv
dc.subjectReturnssv
dc.subjectQuantile Autoregressive Model (QAR)sv
dc.titleOverreaction in Bitcoin before and during COVID-19sv
dc.typeText
dc.setspec.uppsokSocialBehaviourLaw
dc.type.uppsokH2
dc.contributor.departmentUniversity of Gothenburg/Graduate Schooleng
dc.contributor.departmentGöteborgs universitet/Graduate Schoolswe
dc.type.degreeMaster 2-years


Filer under denna titel

Thumbnail

Dokumentet tillhör följande samling(ar)

Visa enkel post