Conditional beta and uncertainty factor in the cryptocurrency pricing\n model

Abstract

This research is to assess cryptocurrencies with the conditional beta,\ncompared with prior studies based on unconditional beta or fixed beta. It is a\nnew approach to building a pricing model for cryptocurrencies. Therefore, we\nexpect that the use of conditional beta will increase the explanatory ability\nof factors in previous pricing models. Besides, this research is also a pioneer\nin placing the uncertainty factor in the cryptocurrency pricing model. Earlier\nstudies on cryptocurrency pricing have ignored this factor. However, it is a\nsignificant factor in the valuation of cryptocurrencies because uncertainty\nleads to investor sentiment and affects prices.\n