Applicability Analysis of Cryptocurrency Market Based on Capital Asset Pricing Model

Authors

  • Yuhan Liu

DOI:

https://doi.org/10.54097/dkzd7p22

Keywords:

Cryptocurrency; Capital Asset Pricing Model; Cryptocurrency Return; Risk-free Rate of Interest; OLS Regression

Abstract

At present, there are approximately 9300 types of cryptocurrencies in the cryptocurrency market, with Bitcoin, Ethereum, and other representative cryptocurrencies receiving widespread attention. Currently, scholars have conducted a lot of research on stock pricing using the Capital Asset Pricing Model (CAPM), but there is little research on the application of CAPM in the emerging cryptocurrency market. This article uses the CAPM to conduct an applicability analysis of CAPM of the top 10 cryptocurrencies in the cryptocurrency market from August 1 2021 to July 31 2023. The analysis process involves first conducting a mathematical analysis of the returns and coefficient  of cryptocurrencies, and then using the OLS regression model to fit the cryptocurrency data and CAPM formula with analyses of the OLS regression results. The research conclusion of this article is that in most cases, CAPM is not applicable in the cryptocurrency market. This article demonstrates an applicability analysis of CAPM in the cryptocurrency field, providing reference value for scholars conducting research in this field and investors in cryptocurrencies.

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Published

22-01-2024

How to Cite

Liu, Y. (2024). Applicability Analysis of Cryptocurrency Market Based on Capital Asset Pricing Model. Highlights in Business, Economics and Management, 24, 923-928. https://doi.org/10.54097/dkzd7p22