Volatility and market behavior of cryptocurrencies according to their market cap

Mohammadsadegh Neyestani

Bakalářská práce

Anotace:

This thesis examines how market capitalization influences the behavior, risk, and performance of cryptocurrencies. Cryptocurrencies are sorted into portfolios based on size and compared using returns, volatility, and risk-adjusted measures. The results show that small-cap cryptocurrencies experience large increases in value but also sharp declines and are associated with higher risk, while large-cap cryptocurrencies provide more stable and better risk-adjusted performance. In addition, the relationship between cryptocurrency and traditional financial markets has strengthened over time, suggesting increasing market integration.

Abstract:

This thesis examines how market capitalization influences the behavior, risk, and performance of cryptocurrencies. Cryptocurrencies are sorted into portfolios based on size and compared using returns, volatility, and risk-adjusted measures. The results show that small-cap cryptocurrencies experience large increases in value but also sharp declines and are associated with higher risk, while large-cap cryptocurrencies provide more stable and better risk-adjusted performance. In addition, the relationship between cryptocurrency and traditional financial markets has strengthened over time, suggesting increasing market integration.

Keywords

cryptocurrencies, market capitalization volatility, portfolio analysis, risk, Sharpe ratio financial markets

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 30. 4. 2026

Obhajoba závěrečné práce

• Obhajoba proběhla 9. 6. 2026
• Vedoucí: B.Sc. Andrea Rigamonti, M.Sc.
• Oponent: doc. Ing. Tomáš Plíhal, Ph.D.

Masarykova univerzita

Ekonomicko-správní fakulta

Bakalářský studijní program / obor:
Business Management and Finance / Business Management and Finance