Abstract

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.

Department

Management Department

Degree Name

MS in Finance

Date of Award

2-1-2019

Online Submission Date

January 2020

First Advisor

Ahmed, Niveen

Committee Member 1

Hassanein, Medhat

Committee Member 2

Ahmed, Niveen

Document Type

Thesis

Extent

037 p.

Rights

The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. The author has granted the American University in Cairo or its agents a non-exclusive license to archive this thesis, dissertation, paper, or record of study, and to make it accessible, in whole or in part, in all forms of media, now or hereafter known.

IRB

Not necessary for this item

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