Finance and Credit

Cryptoassets pricing and equity indices correlation

Vol. 24, Iss. 3, MARCH 2018

Received: 26 January 2018

Received in revised form: 9 February 2018

Accepted: 26 February 2018

Available online: 29 March 2018

Subject Heading: THEORY OF FINANCE

JEL Classification: C72, D61, E42

Pages: 641—651

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation

ORCID id: 0000-0003-2478-0307

Importance The paper investigates the features of cryptoasset pricing and correlation with asset prices in stock markets.
Objectives The paper aims to study the factors influencing the price dynamics of Bitcoin. The article is to study if there is any correlation with financial indices such as the S&P 500.
Methods The study uses the traditional frequency-domain approach in quantile regression based on the Bayesian method.
Results Bitcoin price volatility has a noticeable correlation with the volatility of financial indices, such as S&P 500 due to the spillover effect of the financial markets. But there is no clear relationship found between Google search queries and the Bitcoin price dynamics. Bitcoin prices move primarily under the influence of investors' interest in cryptocurrency as an alternative saving tool.
Conclusions and Relevance The practical significance of the work is to structure the existing knowledge about the factors influencing the price of Bitcoin. The given methods have allowed to define the most influential factors explaining dynamics of Bitcoin in 2017.

Keywords: Bitcoin, estimation theory, volatility flow, equity markets returns, Google-query


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Vol. 24, Iss. 3
March 2018