Bitcoin, can it still be treated as an asset?
Park, Seonghong (2024)
Pro gradu -tutkielma
2024
School of Business and Management, Kauppatieteet
Kaikki oikeudet pidätetään.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2024061753333
https://urn.fi/URN:NBN:fi-fe2024061753333
Tiivistelmä
Bitcoin, introduced by Satoshi Nakamoto in 2008, has evolved from a digital currency to highly noticed investment asset. This thesis investigates the price dynamics of Bitcoin compared with gold, a traditionally stable and safe-haven asset and chosen as representative of an asset by Greer’s asset classification, to find out whether Bitcoin has a characteristic of an asset. The primary research questions focus on identifying Bitcoin’s characteristics of an asset, and understanding the influence of other independent variables which are known as variables that affect to the price of gold.
Utilizing the Vector Error Correction Model (VECM), this study analyzes time series data of Bitcoin and gold to uncover short-term dynamics and long-term equilibrium relationships. Additionally, impulse response analysis and variance decomposition are used to examine the reaction of these assets to external shocks and to decompose forecast error variances.
The findings suggest that historical price information of both assets plays a critical role in their current price determination. This result aligns with the common understanding of asset pricing that the past price information of an asset is one of a critical component of its present price. However, it is also found that Bitcoin shows more independency to other factors compared to traditional asset such as gold, so it should not be treated like it.
This research contributes to the ongoing debate about Bitcoin's role in the financial market and provides insights for investors and policymakers. It also highlights the need for further investigation and revisiting this subject periodically due to Bitcoin’s volatility in both price and technology.
Utilizing the Vector Error Correction Model (VECM), this study analyzes time series data of Bitcoin and gold to uncover short-term dynamics and long-term equilibrium relationships. Additionally, impulse response analysis and variance decomposition are used to examine the reaction of these assets to external shocks and to decompose forecast error variances.
The findings suggest that historical price information of both assets plays a critical role in their current price determination. This result aligns with the common understanding of asset pricing that the past price information of an asset is one of a critical component of its present price. However, it is also found that Bitcoin shows more independency to other factors compared to traditional asset such as gold, so it should not be treated like it.
This research contributes to the ongoing debate about Bitcoin's role in the financial market and provides insights for investors and policymakers. It also highlights the need for further investigation and revisiting this subject periodically due to Bitcoin’s volatility in both price and technology.