We investigate the information content of trading volume in the context of cryptocurrency markets and contribute to a growing literature that aims to understand the role of digital assets as an investment. The main results show that the interaction between lagged shocks to volume and past...

I empirically investigate some of the key features of cryptocurrency returns and volatilities such as their relationship with traditional asset classes, as well as the main driving factors behind market activity. The main empirical results suggest that while there is a mild relationship between...

We study the cross-sectional correlation between the returns on stablecoins and major cryptocurrency pairs. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we propose a large-scale Bayesian Vector...

We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we implement a novel panel bootstrap approach that samples jointly the...

We investigate the performance of funds that specialise in cryptocurrency markets and contribute to a growing literature that aims to understand the value of digital assets as investments. The main empirical results support the idea that cryptocurrency funds generate significantly alphas...

In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reflection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoffs sufficiently...