Är Bitcoin den nya flight-to-quality-tillgången? : En komparativ studie mellan Bitcoin och traditionella finansiella tillgångar

Sammanfattning

Given the increased interest in cryptocurrencies and the economic crisis caused by COVID-19, the question of which place cryptocurrencies can occupy in the market has arisen. This study investigates whether Bitcoin can be classified as a flight-to-quality (FTQ) asset, compared to traditional financial assets such as gold and government bonds, during the pandemic. By analyzing beta values for these assets over different periods, the aim is to identify whether Bitcoin's characteristics resemble those of typical FTQ assets. A quantitative research method was employed, based on secondary data from the Refinitiv Eikon and Yahoo Finance databases, and analyzed using a regression model. The model estimated beta values on continuously compounded returns for the assets in relation to the chosen comparison market (S&P 500). During the pandemic a control variable, the number of COVID-19 cases, was included to try to isolate the effect of the pandemic. The results show that both gold and government bonds have a very low and/or negative correlation with the stock market during the pandemic, confirming their role as FTQ assets. Bitcoin, on the other hand, shows a correlation with the stock market, especially during the more volatile periods of the pandemic, indicating that Bitcoin does not have the same stability as typical FTQ assets. Despite this result, it is important to note that the significance level for many beta values is low, and there is some positive autocorrelation, which may affect the reliability of the results.