Is Bitcoin Still a Safe Haven Asset?
(주)코리아스칼라
- 최초 등록일
- 2023.07.17
- 최종 저작일
- 2023.06
- 26페이지/
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서지정보
ㆍ발행기관 : 한국금융교육학회
ㆍ수록지정보 : 금융교육연구 / 8권 / 1호
ㆍ저자명 : Yoon Jeong Kun
목차
Ⅰ. Introduction
Ⅱ. Ordinary Least Squares Method (OLS)
Ⅲ. Vector Autoregression and Machine LearningMethods
Ⅳ. Conclusion
한국어 초록
이
영어 초록
In this paper, we demonstrate pieces of evidence that prove Bitcoin is no longer a safe haven asset. To show the interconnectedness between Bitcoin and financial markets, we use four statistical methods. The methods are Ordinary Least Squares, Vector Autoregression, Lasso, and XGBoost. For the Ordinary Least Squares method, we use Bitcoin hourly data to study whether Bitcoin volume and price fluctuation increase during U.S. stock market hours. Using this method, we find Bitcoin volume is 22 percent higher and price fluctuation is 8.3 percent higher during U.S. market hours. For the other methods, we use Bitcoin weekly data to discover whether Bitcoin responds to various market indices. With Vector Autoregression, we aim to discover the impact of the lags of market indices on Bitcoin return and volatility. Using this method, we find the first lag of the federal funds rate is significant for both Bitcoin return and volatility. With Lasso, we try to find the direction of correlation between Bitcoin and major market indexes. Using this method, we find Bitcoin return and volatility move in the same direction as the financial market. With XGBoost, we focus on finding the most important predictors for Bitcoin return and volatility. Using this method, we find U.S. stock market indices (S&P 500, Nasdaq, and VXD) are the most powerful predictors for Bitcoin.
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