The new study was conducted by Yale economist Aleh Tsyvinski and Yukun Liu, a Ph.D. candidate in the Department of Economics, and is reportedly the “first-ever comprehensive economic analysis of cryptocurrency and the blockchain technology.”
In the study, Tsyvinski and Liu found that cryptocurrencies “have no exposure” to most common stock markets, as well as to returns of currencies and commodities and macroeconomic factors. Instead, the researchers assert that “cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets.”
Among these factors is a “strong time-series momentum effect.” Tsyvinski and Liu argue that if the price of Bitcoin increases over a week, it is likely to keep growing over the following week. The researchers note that a sharp increase of Bitcoin’s price stimulates higher demand in the market, which leads to bigger investments. The study says that the “momentum effect was stronger” for Bitcoin, but was “still statistically significant” with Ethereum and Ripple.
Apart from the momentum effect, the Yale researchers mention the factor of investor attention, which is a correlation between crypto prices and the number of posts and queries for cryptocurrencies on social media and in search engines. Ultimately, Tsyvinski states:
"All things can happen. Maybe the statistical patterns that we find are going to completely change. Maybe tomorrow Bitcoin is going to be prohibited by regulators, maybe it's going to be completely hacked, there are many things one would take into account."