Evaluating the relationship between the price of Bitcoin and other asset portfolio groups (Case study of US financial indexes, S&P 500 and Nasdaq Composite)

Document Type : Research Paper

Authors

1 Department of Economics,, Shahid Ashrafi Esfahani University, Esfahan. Iran.

2 Department of Economics, University of Isfahan, Isfahan, Iran.

Abstract

With the inclusion of Bitcoin in the portfolio of individuals, it is necessary to evaluate this asset from different financial aspects. In this research, first the relationship between the Bitcoin price, S&P500 and Nasdaq Composite is evaluated using VAR model. Since in VAR models individual coefficients do not lead to statistical inferences, IRFs are being evaluated. It was found that one standard deviation shock on the value of the Nasdaq Composite has a gradual incremental effect on the price of Bitcoin. Also, one standard deviation shock on the value of S&P 500 has a negative downward effect on the price of Bitcoin while one Bitcoin's standard deviation shock is ineffective on S&P500 and Nasdaq Composite. In addition, considering the Granger causality test, S&P500 and Nasdaq Composite cause bitcoin price changes, but the opposite is not true. Having concluded statistical causality of S&P500 and Nasdaq Composite in the previous steps, the price of Bitcoin based on diagnostics being done is regressed as a dependent variable and influenced by the S&P500 and Nasdaq Composite indexes and also needed dummy variable using the ARDL model. The short-term to long-term estimated adjustment coefficient in ECM model is -0.009 and is significant. The overall explanatory power of the model is 99%. Since the normality test and homoscedasticity test were not supported, considering the ability of Robust estimation method to adjust these conditions, this method was used to regress ARDL model. The explanatory power of the model is between 64% and 99%

Keywords

Article Title [Persian]

ارزیابی ارتباط بین قیمت بیت کوین و دیگر گروه های سبد دارایی (مطالعه موردی شاخص های مالی آمریکا اس اند پی 500 و نزدک مرکب)

Authors [Persian]

  • مرضیه سادات سجادی 1
  • رحمان خوش اخلاق 2
  • سعید صمدی 2
  • محمد واعظ برزانی 2
1 گروه اقتصاد، دانشگاه شهید اشرفی اصفهانی، اصفهان، ایران.
2 گروه اقتصاد، دانشگاه اصفهان، اصفهان، ایران.
Abstract [Persian]

با قرارگیری بیت کوین در پرتفوی افراد ضروری است که این دارایی از  جنبه های گوناگون مالی مورد ارزیابی قرار گیرد. در این تحقیق  رابطه بین قیمت بیت کوین ، S&P500 و Nasdaq composite  با استفاده از مدل  VARمورد ارزیابی قرار گرفته است. چون در مدل های VAR از ضرایب انفرادی نمی توان استنتاج آماری بدست آورد، توابع عکس العمل مورد ارزیابی قرار می گیرد. نتیجه آن است که یک واحد شوک انحراف معیار روی Nasdaq Composite  اثرات تدریجی افزایشی و یک واحد انحراف معیار S&P500  اثر کاهشی منفی بر روی قیمت بیت کوین  دارد. ولی یک واحد شوک انحراف معیار  قیمت بیت کوین بر روی S&P500 و Nasdaq Composite اثری ندارد. مضافا با انجام آزمون علیت گرنجر S&p500 و Nasdaq Composite باعث تغییرات قیمت بیت کوین می شوند اما عکس آن درست نیست. با توجه به نتایج آماری فوق S&P500 و Nasdaq Composite  و متغیرهای دامی مورد نیاز علت تغییرات آماری قیمت بیت کوین تشخیص داده شده و با استفاده از مدل ARDL مورد ارزیابی رگرسیونی قرار گرفته اند. ضریب تعدیل کوتاه مدت به بلندمدت تخمینی مدل ECM، 009/- بوده و موثر می باشد. قدرت توضیحی کل مدل 99 درصد است. چون تست های نرمال بودن و  عدم ناهمسانی واریانس مورد تایید قرار نگرفته اند، با توجه به توانایی روش تخمین Robust در تعدیل این شرایط، این روش برای رگرسیون مدل ARDL مورد استفاده قرار گرفت. قدرت توضیحی این مدل بین 64 و 99 درصد است.

Keywords [Persian]

  • بیت کوین
  • همبستگی
  • علیت
  • نزدک مرکب
  • اس اند پی 500

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History

  • Receive Date: 26 August 2024
  • Revise Date: 01 November 2024
  • Accept Date: 02 November 2024

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