Роль биткоина в экономических потрясениях: тихая гавань или мираж?

Данное исследование направлено на достижение трех конкретных исследовательских целей: (1) проанализировать взаимосвязь между биткоином и золотом, (2) оценить эффективность биткоина в качестве инструмента хеджирования рисков на фондовом рынке и (3) изучить влияние рыночных потрясений на взаимосвязь между биткоином и фондовым рынком. Использована модель обобщенной авторегрессионной условной гетероскедастичности (GARCH) для изучения взаимодействия между биткоином, золотом и фондовым рынком NASDAQ. При этом денежная масса рассматривается как контрольная переменная для оценки ее влияния на эти взаимосвязи. Результаты показывают, что биткоин не является инструментом хеджирования рисков на фондовом рынке, особенно на NASDAQ. Это опровергает гипотезу о его хеджирующих свойствах. Кроме того, установлено, что денежная масса не играет существенной роли в объяснении взаимосвязи между биткоином и фондовым рынком NASDAQ, а также между биткоином и золотом. Однако в периоды рыночных потрясений между биткоином и фондовым рынком NASDAQ наблюдается заметная корреляция, причем в таких условиях она усиливается. Это подтверждает гипотезу о влиянии рыночных потрясений. Несмотря на то, что биткоин называют «цифровым золотом», исследование не выявило статистически значимой взаимосвязи между биткоином и золотом, хотя оба актива демонстрируют схожие ценовые тренды.

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