Abstract

DEMMLER, Michael. Leading Cryptocurrencies Between 2019 and 2021: Analysis of Market Prices and Portfolio Design. Anál. econ. [online]. 2023, vol.38, n.99, pp.145-165.  Epub Sep 25, 2023. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2023v38n99/demmler.

This study explores the financial performance of cryptocurrencies during the COVID-19 pandemic. In particular, the research objective is to compare the market price movements of the leading cryptocurrencies Bitcoin, Ethereum, BNB and XRP before and during the COVID-19 pandemic based on a longitudinal, exploratory, and quantitative research design which is centered on the analysis of the statistical moments of logarithmic return distributions, tests for structural changes combined with stationarity tests and portfolio optimization strategies. Results of the analysis show a clear change of the medium- to long-term return behavior of the analyzed cryptocurrencies during the pandemic, although not immediately after the pandemic announcement of the WHO in March 2020. Especially Bitcoin, BNB and Ethereum show comparable and even more favorable return characteristics in most samples compared to traditional investment alternatives. Furthermore, the diversification potential of cryptocurrency portfolios appears to be quite limited.

Keywords : cryptocurrency; COVID-19 pandemic; return analysis; portfolio analysis.