Which cryptocurrency data sources should scholars use?
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https://doi.org/10.1016/j.irfa.2022.102061 |
Metadatos
Título
Which cryptocurrency data sources should scholars use?Autoría
Fecha de publicación
2022-02-16Editor
ElsevierISSN
1057-5219; 1873-8079Cita bibliográfica
Vidal-Tomás, D. (2022). Which cryptocurrency data sources should scholars use?. International Review of Financial Analysis, 81, 102061.Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
Inspired by Alexander and Dakos (2020), we shed more light on the adequacy of data in the cryptocurrency literature by analysing the scaling properties and underlying processes of the main cryptocurrency databases ... [+]
Inspired by Alexander and Dakos (2020), we shed more light on the adequacy of data in the cryptocurrency literature by analysing the scaling properties and underlying processes of the main cryptocurrency databases (Coinmarketcap, Coingecko, BraveNewCoin and Cryptocompare) and exchange platforms (Coinbase, Bitstamp, Bittrex, Cexio and Exmo). Our results show that coin-ranking sites, such as Coinmarketcap, Coingecko and BraveNewCoin (i) include most of the cryptocurrency trading activity and (ii) are essentially characterised by the same underlying processes as the main exchange platforms (Coinbase and Bitstamp) and alternative coin-ranking sites (Cryptocompare), regardless of the possible issues arising from the aggregation of different exchanges to compute a unique cryptocurrency price. Therefore, we state that these databases are appropriate to conduct research. At any rate, we observe that all the databases analysed in this paper show the same underlying process for most liquid cryptocurrencies; consequently, scholars could use any of them for their studies, as long as they consider the different trading activity included by each database. This result is supported by an empirical analysis focused on weak-form market efficiency, since we report the same degree of efficiency regardless of the database and exchange platform. Nevertheless, we recognise the need for further research, given the gap in the literature and the black-box method used by coin-ranking sites to compute a unique cryptocurrency price. [-]
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International Review of Financial Analysis. Volume 81, May 2022, 102061Derechos de acceso
1057-5219/© 2022 Elsevier Inc. All rights reserved.
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