Macroeconomic fundamentals and cryptocurrency prices: A common trend approach
基于资产定价理论，发现股票市场和加密货币市场共享一个共同基本面，即消费，并分析了其他宏观经济因素、不确定性和情绪对偏离基本面的解释作用。
Abstract Based on asset pricing theory, we posit and find that equity markets and cryptocurrency markets share a common fundamental. Our cointegration tests show that the most important asset pricing primitive, consumption, can serve as the common fundamental. We further show that additional macroeconomic factors, as well as uncertainty and sentiment, all play a role in explaining the deviation from fundamentals. To understand the linkage between equity markets, cryptocurrency markets, and the macroeconomy, we suggest the following three channels: (i) portfolio allocation decisions, (ii) intermarket order flows, and (iii) technological adaption expectations.