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An analysis of bitcoin as an asset
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Autores
Orientador(es)
Resumo(s)
Bitcoin is nowadays one of the most popular topics among the public and academia. The increased popularity and market capitalization of Bitcoin have generated much controversy among the scientific community about whether this cryptocurrency can be used as an asset or as a new form of a medium of exchange. With these questions in mind, I decided first to assess if Bitcoin can be incorporated into one singular category, asset, or medium of exchange; or if it is a mix of these two. Second, enquire how its variance shifts according to shocks in the market and if this reaction can be compared with Gold. Third, infer if there is an asymmetry effect in volatility, i.e., if bad news generate less volatility than good news. The conclusions drawn from this study are that Bitcoin does not fit entirely into one category. There is no clear indication as to whether Bitcoin is a medium of exchange or an asset. Regarding its behavior in the market, it is possible to conclude that Bitcoin does not have management capabilities, and concerning the comparison with Gold, I concluded that Gold is still superior in terms of being a good asset to hedge market risk. The asymmetry effect is not significant in Bitcoin, whereas in Gold, several studies proved that this effect is one of the main properties that make Gold a safe haven.
Descrição
Mestrado Bolonha em Mathematical Finance
Palavras-chave
Bitcoin Asset Medium of exchange Market Gold
Contexto Educativo
Citação
Pereira, Catarina Soares (2021). "An analysis of bitcoin as an asset". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão