Affiliation:
1. Faculty of Computer Science and Telecommunications, Cracow University of Technology, ul. Warszawska 24, 31-155 Kraków, Poland
2. Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, Radzikowskiego 152, 31-342 Kraków, Poland
Abstract
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional financial markets: stock indices, Forex, commodities, on the other side, are measured in the period: January 2020–October 2022. Our purpose is to address the question whether the cryptocurrency market still preserves its autonomy with respect to the traditional financial markets or it has already aligned with them in expense of its independence. We are motivated by the fact that some previous related studies gave mixed results. By calculating the q-dependent detrended cross-correlation coefficient based on the high frequency 10 s data in the rolling window, the dependence on various time scales, different fluctuation magnitudes, and different market periods are examined. There is a strong indication that the dynamics of the bitcoin and ethereum price changes since the March 2020 COVID-19 panic is no longer independent. Instead, it is related to the dynamics of the traditional financial markets, which is especially evident now in 2022, when the bitcoin and ethereum coupling to the US tech stocks is observed during the market bear phase. It is also worth emphasizing that the cryptocurrencies have begun to react to the economic data such as the Consumer Price Index readings in a similar way as traditional instruments. Such a spontaneous coupling of the so far independent degrees of freedom can be interpreted as a kind of phase transition that resembles the collective phenomena typical for the complex systems. Our results indicate that the cryptocurrencies cannot be considered as a safe haven for the financial investments.
Subject
General Physics and Astronomy
Reference70 articles.
1. Physical approach to complex systems;Phys. Rep.,2012
2. (2022, November 01). Bitcoin Pizzaday. Available online: https://www.investopedia.com/news/bitcoin-pizza-day-celebrating-20-million-pizza-order/.
3. (2022, November 01). CoinMarketCap. Available online: https://coinmarketcap.com.
4. Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 2018;Gerlach;R. Soc. Open Sci.,2019
5. Bubbles in Ethereum;Bellon;Financ. Res. Lett.,2022
Cited by
11 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献