Cryptocurrencies as digital asset - Exploring the dynamic interdependence, contagion and portfolio strategy

This thesis focuses primarily on the role of cryptocurrencies as tradable digital investment assets. This research examines the interdependencies and contagion across the major cryptocurrencies, namely Bitcoin, Ethereum, Ripple, Litecoin, and Stellar. In addition, the interdependencies between cryptocurrencies and other financial assets and commodities such as oil, coal, gold, bond, and stock markets are also explored. Overall results indicate that the major cryptocurrencies are highly connected, while the interdependence between the cryptocurrencies, the stock market, and crude oil have become more prevalent specifically during high uncertainty and poor market performance following the Covid19 pandemic. Having said that, Bitcoin, Ethereum and Ripple may offer new opportunities for portfolio diversification or hedging.