Conditional beta and uncertainty factor in the cryptocurrency pricing model
General Economics
2020-10-27 v1 Economics
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.
Keywords
Cite
@article{arxiv.2010.12736,
title = {Conditional beta and uncertainty factor in the cryptocurrency pricing model},
author = {Khanh Q. Nguyen},
journal= {arXiv preprint arXiv:2010.12736},
year = {2020}
}