Cryptocurrencies Asset Pricing Analysis: evidence from Thailand markets

Abstract

Can cryptocurrencies price variations be explained by exogenous classical market prices? We evaluate this issue by using daily data on some of the most important asset prices and indexes in Thailand i.e. Gold, Oil, SET50 index, Tourism index, Mutual fund, and THB/USD exchange rate in comparison with digital asset prices i.e. Bitcoin, Ethereum, Litecoin, Ripple, DASH, and Stellar. By performing both direct and inverse relationships using correlation matrix to find distance relationship and using minimum spanning tree to find the closest path between assets, we found strong direct relationship among cryptocurrencies in digital market with SET50 index and oil price in classical markets. We also found that THB-USD exchange rate has inverse relationship with Bitcoin price, SET50 index and oil price. There is a link between cryptocurrencies asset price and some classical assets' market price.