Pearson Product Moment Correlation Diagnostics Between two types of crypto-currencies: A case study of Bitcoin and Ethereum

Authors

  • Nashirah Abu Bakar
  • Sofian Rosbi

DOI:

https://doi.org/10.31695/IJASRE.2018.32997

Keywords:

Crypto-currency, Bitcoin, Ethereum, Correlation, Investment.

Abstract

The purpose of this study is to develop robust estimation of association between two types of crypto-currencies namely Bitcoin and Ethereum. Daily data of crypto-currencies are collected from https://coinmarketcap.com. The period for data analysis is started from January 2017 until October 2018. The value of mean return for Bitcoin is 13.18 %. Meanwhile, the value of mean return for Ethereum is 27.85 %. The standard deviation for Bitcoin is 30.27 % and Ethereum is 64.24 %. Then, this study performed Person product moment coefficient analysis to evaluate the correlation between these two crypto-currencies. Result indicates the association coefficient value is 0.50. The correlation shows there is strong positive correlation between Bitcoin return and Ethereum return. As conclusion, there is significant relationship between Bitcoin and Ethereum return data with strong positive correlation (r = 0.503, n = 21, p =0.020).The significant of this study is to help investors to make better decision in selecting appropriate investment portfolio for their investment fund that contributes better return and lower risk.

Published

2018-12-05

How to Cite

Nashirah Abu Bakar, & Sofian Rosbi. (2018). Pearson Product Moment Correlation Diagnostics Between two types of crypto-currencies: A case study of Bitcoin and Ethereum. I. J. Of Advances in Scientific Research and Engineering-IJASRE (ISSN: 2454 - 8006), 4(12), 40-51. https://doi.org/10.31695/IJASRE.2018.32997