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)

Sajadi, Marzieh Sadat; Khosh Akhlagh, Rahman; Samadi, Saeed; Vaez Barzani, Mohammad

doi:10.22099/ijes.2024.51030.1968

	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)
Iranian Journal of Economic Studies
دوره 12، شماره 1 - شماره پیاپی 23، آذر 2023، صفحه 181-197 اصل مقاله (434.4 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22099/ijes.2024.51030.1968
نویسندگان
Marzieh Sadat Sajadi^* ¹؛ Rahman Khosh Akhlagh²؛ Saeed Samadi²؛ Mohammad Vaez Barzani²
¹Department of Economics,, Shahid Ashrafi Esfahani University, Esfahan. Iran.
²Department of Economics, University of Isfahan, Isfahan, Iran.
چکیده
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%
کلیدواژه‌ها
Bitcoin؛ Correlation؛ Causality؛ Nasdaq Composite؛ S&؛ P 500

آمار تعداد مشاهده مقاله: 261 تعداد دریافت فایل اصل مقاله: 131

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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)