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Conditional beta and uncertainty factor in the cryptocurrency pricing model

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  • Khanh Q. Nguyen

Abstract

This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that the use of conditional beta will increase the explanatory ability of factors in previous pricing models. Besides, this research is also a pioneer in placing the uncertainty factor in the cryptocurrency pricing model. Earlier studies on cryptocurrency pricing have ignored this factor. However, it is a significant factor in the valuation of cryptocurrencies because uncertainty leads to investor sentiment and affects prices.

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  • Khanh Q. Nguyen, 2020. "Conditional beta and uncertainty factor in the cryptocurrency pricing model," Papers 2010.12736, arXiv.org.
    • Handle: RePEc:arx:papers:2010.12736
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    Cited by:

    1. Inzamam Ul Haq & Apichit Maneengam & Supat Chupradit & Wanich Suksatan & Chunhui Huo, 2021. "Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review," Risks, MDPI, vol. 9(9), pages 1-24, September.

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