Investment Behavior in the Global Cryptocurrency Market: Do Traders Take into Account the Possibilities of Diversification?

Anastasiia A. Dergileva, Victoria V. Dobrynskaya, Sergei V. Gurov, Tatiana V. Sokolova

National Research University Higher School of Economics, Moscow, Russia

Abstract

The cryptocurrency market has been considered until recently a market for private, non-portfolio investors, and the research focus has been on volatility. However, gradual institutionalization and creation of ETFs have highlighted new characteristics, including the asymmetry of trade behavior. Our research aims to analyze the relationships between asymmetric risk indicators and the returns of portfolios across a wide range of cryptocurrencies. We test the hypothesis of the significance of skewness and systematic skewness (coskewness) and their premiums for investors in the cryptocurrency market. Various alternatives for building a cryptocurrency portfolio are tested against two market benchmarks: the stock index and the cryptocurrency index. The Fama–Macbeth approach is used with Newey–West standard error correction. The sample is based on weekly data from 2010 to 2023. The calculations, both for the entire time period under consideration and for two sub-periods (before and after the beginning of the COVID-19 crisis) show that systematic skewness and beta of cryptocurrency portfolios remain statistically insignificant and unstable in terms of signs. Thus, the co-movement with the stock market does not have a significant explanatory power for future returns (i.e., returns over the next week). We reveal the unique behavior of investors in the cryptocurrency market: the skewness of returns is a significant factor in the pricing of cryptocurrencies, while systematic skewness is not. The theoretical significance of our study is related to the identification of anomalies in the global cryptocurrency market. Unlike the stock market, we show that there is no systematic skewness premium in the global cryptocurrency market. The methodology reveals the behaviour of investors: they do not take into account the dynamics of the stock market when choosing cryptocurrencies, and therefore, there is no such strategy of diversifying capital to reduce risk. The practical significance is that our findings can serve as a basis for private and institutional investors and asset managers to make investment decisions in the cryptocurrency market.

Keywords

cryptocurrency market; skewness; systematic skewness; CAPM model with third moment; Fama–Macbeth method; investment portfolios

JEL classification

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Acknowledgements

The research was supported by the Russian Science Foundation under grant 25-28-00260, https://rscf.ru/project/25-28-00260/

About Authors

Anastasiia Alekseevna Dergileva

Research Assistant, Center for Financial Research and Data Analysis, National Research University Higher School of Economics, Moscow, Russia (109028, Moscow, Pokrovsky Boulevard, 11); ORCID https://orcid.org/0009-0008-6047-1775 е-mail: dergilevaana@gmail.com

Victoria Vladimirovna Dobrynskaya

Candidate of Economic Sciences, Associate Professor, School of Finance, National Research University Higher School of Economics, Moscow, Russia (109028, Moscow, Pokrovsky Boulevard, 11); ORCID https://orcid.org/0000-0001-7602-7240 e-mail: vdobrynskaya@hse.ru

Sergei Vycheslavovich Gurov

Candidate of Economic Sciences, Research Fellow, Center for Financial Research and Data Analysis, National Research University Higher School of Economics, Moscow, Russia (109028, Moscow, Pokrovsky Boulevard, 11); ORCID https://orcid.org/0000-0003-0104-5166 e-mail: sgurov@hse.ru

Tatiana Vladimirovna Sokolova

Candidate of Physics and Mathematics Sciences, Deputy Director, Center for Financial Research and Data Analysis, National Research University Higher School of Economics, Moscow, Russia (109028, Moscow, Pokrovsky Boulevard, 11); ORCID https://orcid.org/0000-0002-2238-7539 e-mail: tv.sokolova@hse.ru

For citation

Dergileva, A.A., Dobrynskaya, V.V., Gurov, S.V., Sokolova, T.V. (2026). Investment Behavior in the Global Cryptocurrency Market: Do Traders Take into Account the Possibilities of Diversification? Journal of Applied Economic Research, Vol. 25, No. 1, 249-282. https://doi.org/10.15826/vestnik.2026.25.1.009

Article info

Received October 13, 2025; Revised November 24, 2025; Accepted December 3, 2025.

DOI: http://dx.doi.org/10.15826/vestnik.2026.25.1.009

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