بررسی مشابهت‌های رفتاری میان بازار رمز ارزها و بازارهای مالی سنتی (مطالعه موردی بیت‌کوین)

نویسندگان
نادر هاشم نژاد
سجاد برخورداری
قهرمان عبدلی
دانشگاه تهران
چکیده
بیت‌کوین به عنوان رهبر رمز ارزها و دارای بیشترین ارزش بازاری به عنوان دارایی دیجیتال در پرتفوی بیشتر سرمایه‌گذاران بین‌المللی حضور دارد. با این حال، در مقایسه با دارایی‌های سنتی، ماهیت این رمز ارز از منظر رفتاری مشخص نیست. بررسی این امر با استفاده از پیگیری رفتار دم توزیع یا رفتارهای حدی یکی از روش‌هایی است که می‌تواند به محققان در مورد ماهیت این رمز ارز کمک شایانی کند، زیرا که این امر متناظر با بررسی رفتارهای حدی و در مواقع بحرانی این رمز ارز است. در این راستا، این تحقیق از رگرسیون کوانتایل به منظور برآورد مدل CAViaR استفاده نموده است. نتایج این تحقیق برای دوره زمانی روزانه از 5 تیر 1397 تا 21 اردیبهشت 1401 نشان داد که با تحلیل رگرسیون کوانتایل صدک 5%، بررسی رفتار دم راست توزیع بیت‌کوین مشابهت رفتاری این ارز با همه دارایی‌های مورد بررسی تایید می‌گردد. این امر نشان می‌دهد که در حالتی که بازده بازارهای مالی سنتی مثبت است و بازارها در حال صعود هستند، رفتار رمز ارزها با رفتار کلی بازارها همسو می‌شود. با این حال، بررسی رفتار دم چپ توزیع متغیرها نشان می‌دهد که بیت‌کوین با بقیه دارایی‌های سنتی هیچ مشابهت رفتاری ندارد. به عبارت بهتر، در زمانی که بازارها نزولی هستند، رفتار بیت‌کوین با بازارهای سنتی همسو نیست. با این حال، بازده شاخص هموزن بر روند بیت‌کوین موثر نیست که این امر به دلیل عدم پیروی بازارهای مالی داخلی از بازارهای بین‌المللی به دلیل انزوای اقتصادی ایران و تحریم‌های بین‌المللی قابل پیش‌بینی بود. بنابراین بیت‌کوین تا دوره مورد بررسی این مطالعه رفتاری سوای دارایی‌های شناخته شده از خود نشان داده و سرمایه‌گذاری در آن همچنان با ریسک سوخت شدن سرمایه رو به رو است، لذا توصیه می‌شود سرمایه‌گذاران در چینش پرتفوی خود، مدیریت ریسک را رعایت نمایند.
کلیدواژه‌ها
بازار رمز ارزها
رفتارهای حدی قیمت
رگرسیون کوانتایل
ماهیت رفتاری بیت‌کوین
مدل CAViaR

عنوان مقاله English

Examining behavioral similarities between cryptocurrency market and traditional financial markets (Bitcoin case study)

نویسندگان English

Nader Hashemnezhad
sajjad barkhordari
ghahreman Abdoli
Tehran university
چکیده English

Bitcoin is the leader of cryptocurrencies and has the largest market value as a digital asset in most international investment portfolios. However, compared to traditional assets, the nature of this cryptocurrency is not clear from a behavioral perspective. Examining this by following the behavior of the distribution tail or limit behaviors is one of the methods that can help researchers about the nature of this cryptocurrency, because this corresponds to the investigation of limit behaviors and in critical times of this currency. In this regard, this research has used quantile regression to estimate CAViaR models. In addition, to study the effect of each variable on the Bitcoin trend, the GARCH approach has also been used.

The results of this research for the daily period from 2018 June 26 to 2022 May 11, Wednesday, showed that by analyzing the 5% percentile quantile regression, examining the behavior of the right tail of Bitcoin distribution, the behavioral similarity of this currency with all the investigated assets is confirmed. This shows that in a situation where the returns of traditional financial markets are positive and the markets are rising, the behavior of cryptocurrencies aligns with the general behavior of the markets. However, examining the behavior of the left tail of the distribution of the variables shows that Bitcoin has no similarity in behavior with the rest of the traditional assets. In other words, when markets are bearish, Bitcoin's behavior is not aligned with traditional markets. However, the return of the homogenous index does not affect the trend of Bitcoin, which was predictable due to the non-compliance of domestic financial markets with international markets due to Iran's economic isolation and international sanctions. Therefore, until the period investigated by this study, Bitcoin has shown a behavior other than known assets and investing in it is still facing the risk of capital burnout, so it is recommended that investors observe risk management in the arrangement of their portfolios.

کلیدواژه‌ها English

Cryptocurrency marketPrice
limit behaviors
Quantile regression
The behavioral nature of Bitcoin
Model CAViaR
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