Аналіз взаємозв’язку біткоїна з фондовими індексами, товарами та цінними паперами

Abstract

UK: У статті проведено аналіз впливу 44 різних факторів на зміну ціни біткоїна, таких як: доходність однорічних облі-гацій США, ціни на ф’ючерси на паладій, платину, золото, срібло, мідь, китайські фондові індекси, німецький фондовий індекс DAX, французький індекс CAC 40, фондові індекси ЮАР, Індії, Маврикія, Англії, Швейцарії, Швеції, Південної Кореї та ін. Відібрано найбільш впливові фактори, з використанням яких побудовано дві регресійні моделі. Обґрунто-вано їх статистичну значущість та значущість включених до них факторів. Проведено перевірку однієї з моделей на мультиколінеарність, автокореляцію, гетероскедастичність. Окреслено перспективи подальших досліджень залежно від тенденцій зміни ціни на біткоїн.

EN: The article analyzes the impact of 44 different factors on the change in the price of bitcoin, such as: yields on US one-year bonds, prices for futures on palladium, platinum, gold, silver, copper, Chinese stock indices, German stock index DAX, French index CAC 40, stock indices of South Africa, India, Mauritius, England, Switzerland, Sweden, South Korea, etc. The most influential factors were selected, with the help of which two regression models were built. The presence of insignificant factors in the first model led to the need to consider the second one, which is much better. The second model lacks multicollinearity, but there are autocorrelation of residues and heteroscedasticity. There was an attempt to eliminate autocorrelation of residues, but it led to a significant reduction in the coefficient of determination to 22%. An attempt to explain the causality of the Bitcoin exchange rate to the KOSPRI index has been made. South Korea is a country, which actively cooperates with two main leaders in Bitcoin mining, namely China, where 65 % of new bitcoins are created, and the United States – 23 % of new bitcoins. Modern economic leaders actively influence not only the economy of their coun-try, but also other economies. Korean companies are actively penetrating both the Chinese economy and the US national economy, which determines their impact on Bitcoin mining, as a large amount of necessary electronics is produced by South Korean companies such as SK hynix Inc. As for the palladium futures rate, palladium is a metal which is actively used in production of the electronics needed to mine bitcoin. Prospects for further research depend on trends in the price of bitcoin. It is possible that the price of the cryptocurrency Bitcoin will gradually rise, as some corporations begin to recognize Bitcoin as a means of payment for goods and services. This will increase demand and, as a result, prices. The confidence of large companies in Bitcoin will indicate the reliability of the cryptocurrency, which in turn will give confi-dence to minority investors in the need to add cryptocurrency to investment portfolios. The rise in prices will indicate the need to study the impact of various factors on changes in the price of Bitcoin. If the popularity of cryptocurrency begins to wane, it will lead to a rapid loss of its price. This development option will indicate the inexpediency of continuing to study the relationship of this cryptocurrency with these factors and the need to find other ones.