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.
Mikhailov A.Yu. [A theory of cryptoasset valuation]. Finansovaya Analitika: Problemy i Resheniya = Financial Analytics: Science and Experience, 2017, vol. 10, iss. 6, pp. 691—700. URL: Link
Brière M., Oosterlinck K., Szafarz A. (2013). Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins. CEB Working Paper, 2017, no. 13/031. URL: Link
Popper N. Digital Gold: The Untold Story of Bitcoin. London, Penguin Publ., 2015, 432 p.
Baur D.G., Lucey B.M. Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 2010, no. 45, pp. 217—229. URL: Link
Becker J., Breuker D., Heide T. et al. Can We Afford Integrity by Proof-of-Work? Scenarios Inspired by the Bitcoin Currency. URL: Link
Brandvold M., Molnár P., Vagstad K. et al. Price Discovery on Bitcoin Exchanges. Journal of International Financial Markets, Institutions and Money, 2015, no. 36, pp. 18—35. URL: Link
Dwyer G.P. The Economics of Bitcoin and Similar Private Digital Currencies. Journal of Financial Stability, 2015, no. 17, pp. 81—91. URL: Link
Valstad O.C.A., Vagstad K. A Bit Risky? A Comparison between Bitcoin and Other Assets Using an Intraday Value-at-Risk Approach, 2015. URL: Link
Eisl A., Gasser S.M., Weinmayer K. Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? SSRN Electronic Journal, 2015. URL: Link
Yermack D. Is Bitcoin a Real Currency? An Economic Appraisal. Bitcoin, Innovation, Financial Instruments, and Big Data, 2015, pp. 31—43. URL: Link
Dyhrberg A.H. Hedging Capabilities of Bitcoin. Is It the Virtual Gold? Finance Research Letters, 2016, no. 16, pp. 139—144. URL: Link
Engle R.F. Dynamic Conditional Correlation — A Simple Class of Multivariate GARCH Models. Journal of Business and Economic Statistics, 2002, vol. 20, iss. 3, pp. 339—350. URL: Link
Hafner C.M., Reznikova O. On the Estimation of Dynamic Conditional Correlation Models. Computational Statistics & Data Analysis, 2012, vol. 56, iss. 11, pp. 3533—3545. URL: Link
Ratner M., Chiu-Chieh C. Hedging Stock Sector Risk with Credit Default Swaps. International Review of Financial Analysis, 2013, no. 30, pp. 18—25. URL: Link
Rogojanu A., Badea L. The Issue of Competing Currencies. Case Study — Bitcoin. Theoretical and Applied Economics, 2014, no. 1, pp. 103—114. URL: Link
Gandal N., Halaburda H. Competition in the Cryptocurrency Market. Bank of Canada Working Paper,2014, no. 2014-33. URL: Link
Selgin G. Synthetic Commodity Money. Journal of Financial Stability, 2015, no. 17, pp. 92—99. URL: Link
Shubik M. Simecs, Ithaca Hours, Berkshares, Bitcoins and Walmarts. LSE Financial Markets Group Special Paper Series, 2014, no. 233. URL: Link
Parhizgari A.M., Cho J.H. East Asian Financial Contagion under DCC-GARCH. International Journal of Banking and Finance, 2008, vol. 6, iss. 1, pp. 17—30.