| dc.description.abstract | The thesis aims to explore the performance of the cryptocurrency market as an investment, specifically examining the potential for better returns compared to the stock market by investing in Bitcoin (BTC), Ether (ETH), Tether (USDT), and Dogecoin (DOGE). The sample period spans from June 1, 2017, to December 31, 2021.
First, the thesis employs the ＂Cryptocurrency 3-Factor Model＂ to investigate the impact of three cryptocurrency-specific risk factors in cryptocurrency market. And find whether there have any excess returns. Furthermore, using the ＂First-Order Stochastic Dominance (FSD), Second-Order Stochastic Dominance (SSD), and Almost First-Order Stochastic Dominance (AFSD)＂, to examines whether the four cryptocurrencies outperform the MSCI World Index (wMSCI) of the stock market and analyzes the potential dominance relationships among the four cryptocurrencies. Lastly, the thesis utilizes the Omega index to obtain a prioritized ranking of investment in the five assets across the entire sample period and pre- and post-pandemic periods.
The empirical results show that, based on the cryptocurrency 3-factor model, BTC, ETH, USDT, and DOGE all had negative excess returns before the pandemic. After the pandemic, only Tether maintained a negative excess return, while the excess returns of other currencies were not significantly different from zero. Through the traditional FSD and SSD methods, as well as the AFSD method, we can obtain the following information. The results reveal that investing in the four cryptocurrencies does not dominate the wMSCI, and there is no dominance relationship among the four cryptocurrencies themselves. Furthermore, this study utilizes the Omega index to rank the five assets and determine their investment priorities. DOGE is identified as a favorable investment target throughout the entire sample period and postpandemic period, while USDT is the least preferred investment among the five assets in all research periods. | en_US |