| Title |
Modelling the dynamics of bitcoin, ethereum, ripple including covid-19 impact / |
| Translation of Title |
Bitcoin, Ethereum, Ripple kriptovaliutų dinamikos modeliavimas įtraukiant COVID- 19 įtaką. |
| Authors |
Galgauskas, Šarūnas |
| Full Text |
|
| Pages |
65 |
| Keywords [eng] |
Pasikeitimo taškas, koronavirusas, COVID-19, Granger kauzalumas, VAR, Bitcoin, Ethereum, Ripple, kriptovaliutos Changepoint, changepoint analysis, COVID-19, Granger Causality, VAR, Bitcoin, Ethereum, Ripple, cryptocurrency |
| Abstract [eng] |
In this thesis the daily returns of selected cryptocurrencies: Bitcoin, Ethereum and Ripple, as well as their returns relationship with the selected variables are analysed. The thesis consists of two main parts of the analysis. The first part aimed to find the points of change in the variance in the period from 2019.11.07 to 2020.11.06 using daily data. After implementing algorithms of changepoints in variance, it was detected that the dates of Bitcoin changepoints were: 2020.03.07, 2020.03.11, 2020.03.19. Ethereum: 2020.03.07, 2020.03.19, and Ripple: 2020.02.11, 2020.03.07, 2020.03.11 and 2020.03.19. The second part of the analysis examined the Granger causality between Bitcoin, Ethereum, Ripple cryptocurrencies and selected social, economic, financial variables. First, VAR models between cryptocurrencies and variables were constructed and then Granger causality tests performed. The results revealed that during selected period from 2019.11.07 to 2020.11.06, there was a bidirectional Granger causality relationship between cryptocurrency daily logarithmic returns and S\&P500 logarithmic daily returns and FSI daily index. The one-sided relationship of Granger causality has been found between the logarithmic returns of gold and cryptocurrencies (Bitcoin, Ethereum, Ripple daily log returns). Also, the daily logarithmic returns of Bitcoin and Ethereum had a Granger causality relationship with USD/EUR daily logarithmic returns. All of the cryptocurrencies were found to Granger cause the daily logarithmic returns of the USD/CHF, and the latter had a causal relationship with the daily logarithmic returns of the Ripple. Also, there were no links between cryptocurrency daily logarithmic returns and Wikipedia daily reviews on Bitcoin, Ethereum, Ripple. Also no significant results were found when Granger causality test was paired between BTC, ETH, XRP daily log returns and COVID-19 daily deaths worldwide. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
English |
| Publication date |
2021 |
