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DeFi Tokens: Stylized Facts
Francia, Nina Luz ; Krištoufek, Ladislav (advisor) ; Červinka, Michal (referee)
This thesis examines the price and return properties of the four major cryp- tocurrencies (Bitcoin, Ethereum, Binance, and Ripple), five DeFi coins (Uni- sawp, Chainlink, Maker, Pancakeswap, Aave), along with the two conventional financial assets (Euro/USD exchange rate, and S&P500 index). The daily data to January 2023 is used, with different starting dates for each asset depending on the data availability. The main focus of the examination is to examine whether the new class of financial assets show the statistical properties consistent with the stylized facts of the conventional financial assets. This exercise is important and have strong implications to many stakeholder and decision-makers in the finance in- dustry, in relation to whether these new assets show basic statistical properties consistent with those of the conventional financial assets. The properties exam- ined include return predictability (or information efficiency in the weak-form), departure from normality, volatility clustering, leverage effect, and return-risk relationship. Results show that the cryptocurrencies as well as DeFi coins exhibit the properties that are consistent with the stylized facts of the price and return financial assets, except that they show a substantially high degree of volatility and little degree of...
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