Evolution of bitcoin as a Financial Asset
The cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017 price bubble, after and during the COVID-19 p...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | Russian |
| Published: |
Government of the Russian Federation, Financial University
2021-10-01
|
| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1327 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1839575095590256640 |
|---|---|
| author | K. D. Shilov A. V. Zubarev |
| author_facet | K. D. Shilov A. V. Zubarev |
| author_sort | K. D. Shilov |
| collection | DOAJ |
| description | The cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017 price bubble, after and during the COVID-19 pandemic. The main method of analysis is a generalized autoregressive conditional heteroskedasticity model with conditional generalized error distribution (GARCHGED). Two groups of indicators are used as possible factors related to the Bitcoin dynamics. The first group consists of various quantitative indicators directly related to Bitcoin (the so-called internal factors) — the volume of exchange trade, the volume of transactions in the Bitcoin blockchain, the number of new and active wallets, hash rate, the sum of fees paid in the blockchain, as well as the dynamics of Google Trends search queries. The second group is the return on various financial assets — stock and bond indexes, commodities, and currency markets. The results of the analysis demonstrate the absence of a stable correlation between any of the factors under consideration and Bitcoin returns in all the periods that we focus on. In the period before the 2017 price bubble, the internal factors and Bitcoin returns showed generally co-directional dynamics, but the situation changed in 2018. In early 2021, the correlation between Bitcoin and traditional financial assets returns has increased significantly. We can conclude that Bitcoin is becoming a popular means of diversification as a high-risk asset, which, however, follows the pattern of a speculative bubble at the beginning of 2021. The increased demand for the need to invest in Bitcoin using various exchange-traded instruments (ETFs for cryptocurrencies) may soon lead to a further increase in the price of this cryptocurrency if such instruments are registered on the exchange. |
| format | Article |
| id | doaj-art-8f2e5a43e2c3465aa44056b0599b79d5 |
| institution | Matheson Library |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| publishDate | 2021-10-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj-art-8f2e5a43e2c3465aa44056b0599b79d52025-08-04T13:11:08ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892021-10-0125515017110.26794/2587-5671-2021-25-5-150-171875Evolution of bitcoin as a Financial AssetK. D. Shilov0A. V. Zubarev1Institute of Applied Economic Study, RANEPAInstitute of Applied Economic Study, RANEPAThe cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017 price bubble, after and during the COVID-19 pandemic. The main method of analysis is a generalized autoregressive conditional heteroskedasticity model with conditional generalized error distribution (GARCHGED). Two groups of indicators are used as possible factors related to the Bitcoin dynamics. The first group consists of various quantitative indicators directly related to Bitcoin (the so-called internal factors) — the volume of exchange trade, the volume of transactions in the Bitcoin blockchain, the number of new and active wallets, hash rate, the sum of fees paid in the blockchain, as well as the dynamics of Google Trends search queries. The second group is the return on various financial assets — stock and bond indexes, commodities, and currency markets. The results of the analysis demonstrate the absence of a stable correlation between any of the factors under consideration and Bitcoin returns in all the periods that we focus on. In the period before the 2017 price bubble, the internal factors and Bitcoin returns showed generally co-directional dynamics, but the situation changed in 2018. In early 2021, the correlation between Bitcoin and traditional financial assets returns has increased significantly. We can conclude that Bitcoin is becoming a popular means of diversification as a high-risk asset, which, however, follows the pattern of a speculative bubble at the beginning of 2021. The increased demand for the need to invest in Bitcoin using various exchange-traded instruments (ETFs for cryptocurrencies) may soon lead to a further increase in the price of this cryptocurrency if such instruments are registered on the exchange.https://financetp.fa.ru/jour/article/view/1327cryptocurrencyblockchainbitcoingarchfinancial marketsfinancial assetscovid-19google trends |
| spellingShingle | K. D. Shilov A. V. Zubarev Evolution of bitcoin as a Financial Asset Финансы: теория и практика cryptocurrency blockchain bitcoin garch financial markets financial assets covid-19 google trends |
| title | Evolution of bitcoin as a Financial Asset |
| title_full | Evolution of bitcoin as a Financial Asset |
| title_fullStr | Evolution of bitcoin as a Financial Asset |
| title_full_unstemmed | Evolution of bitcoin as a Financial Asset |
| title_short | Evolution of bitcoin as a Financial Asset |
| title_sort | evolution of bitcoin as a financial asset |
| topic | cryptocurrency blockchain bitcoin garch financial markets financial assets covid-19 google trends |
| url | https://financetp.fa.ru/jour/article/view/1327 |
| work_keys_str_mv | AT kdshilov evolutionofbitcoinasafinancialasset AT avzubarev evolutionofbitcoinasafinancialasset |