Price formation in the cryptocurrency market. A hypotheses driven econometric analysis of cryptocurrency price determinants

Cryptocurrencies have become one of the hottest topics in finance in recent years. Despite their fascinating appeal to the general public, the understanding of the price formation process of blockchain-based cryptocurrencies is still limited. This thesis analyzes factors influencing the price of the five cryptocurrencies Bitcoin, Ethereum, Dash, Litecoin, and Monero in the time between January 2014 and July 2017. The developed hypotheses are based on economic theory and related fields to explain cryptocurrency prices. To test the hypotheses, a Granger Causality study by estimating vector autoregressive models, vector error correction models, and autoregressive distributed lag models is conducted.

Lukas M. König was born in Ludwigsburg in 1991. After his undergraduate degree in Engineering Management the author focused strongly on the quantitative fields of business economics. In 2018 he graduated with distinction and earned his master's degree in Financial Management at the University of Hohenheim. Inspired by his academic time in California he developed a cross-industry affinity for modern and disruptive technologies. During his time as a university student he worked as a scientific employee at the chair of Banking and Financial Services for Prof. Dr. Burghof. Besides his participation in research on the field of modern financial markets he conducted lectures and tutorials in the courses Fundamentals of Corporate Finance and Trading & Exchanges.