IDEAS home Printed from https://ideas.repec.org/a/eee/intfin/v94y2024ics1042443124000787.html
   My bibliography  Save this article

Blockchain factors

Author

Listed:
  • Sakkas, Athanasios
  • Urquhart, Andrew

Abstract

Identifying factors to explain cryptocurrency returns is challenging given the lack of fundamental information, however there exists a plethora of data from public blockchains. We use these on-chain data with the recent methodology of Harvey and Liu (2021) and show that a parsimonious two-factor model comprised of the value-weighted cryptocurrency market factor and the network distribution factor can explain the cross-section of individual cryptocurrency returns.

Suggested Citation

  • Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000787
    DOI: 10.1016/j.intfin.2024.102012
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042443124000787
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.intfin.2024.102012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000787. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/intfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.