Cryptocurrencies gained increased interest recently with concern in various economic and financial related issues. Many investors made lots of money from cryptocurrency and others lost huge money from the same investment. The understanding of how this currency behave is thus crucial. This thesis aims to study the relation between Cryptocurrency and its forks. Specifically, we examine the effect of the forks of Bitcoin returns on the returns and volatility of Bitcoin and vice versa. Our sample includes prices of Bitcoins and portfolio of 17 forks for the period 2010-2017. We study the volatility of Bitcoin and its forks using the Dynamic GARCH model. Our model indicated that there is a strong positive relation between Bitcoin returns and the return of the forks of Bitcoin. However, from the volatility side the forks of Bitcoin has no effect on the Bitcoin returns.


Management Department

Degree Name

MS in Finance

Graduation Date


Submission Date

January 2020

First Advisor

Ahmed, Niveen

Committee Member 1

Hassanein, Medhat

Committee Member 2

Ahmed, Niveen


037 p.

Document Type

Master's Thesis


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