Comportamiento de las principales criptomonedas entre 2019 a 2021: Análisis de precios y diseño de portafolios
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2023v38n99/DemmlerPalabras clave:
criptomonedas, pandemia COVID-19, análisis de rendimiento, análisis de portafoliosResumen
El estudio explora el comportamiento de las criptomonedas durante la pandemia de COVID-19. En particular, el objetivo de investigación es comparar los comportamientos de los precios de las criptomonedas Bitcoin, Ethereum, BNB y XRP antes y durante la pandemia usando un diseño longitudinal, exploratorio y cuantitativo centrado en el análisis descriptivo de las distribuciones de retornos logarítmicos, pruebas de cambios estructurales combinados con pruebas de estacionariedad y optimización de portafolios. Los resultados muestran un cambio en el comportamiento de las criptomonedas a medio y largo plazo durante la pandemia, aunque no inmediatamente después del anuncio de la pandemia por la OMS en marzo de 2020. Además, especialmente Bitcoin, BNB y Ethereum muestran características comparables en sus rendimientos e incluso más favorables en la mayoría de los periodos analizados en comparación con alternativas tradicionales de inversión. Además, el potencial de diversificación al momento de formar portafolios de criptomonedas es limitado.
Clasificación JEL: G11; G12; G15.
Descargas
Citas
Abramova, S., & Böhme, R. (2016). Perceived benefit and risk as multidimensional determinants of Bitcoin use: A quantitative exploratory study. Proceedings from the Thirty Seventh International Conference on Information Systems. Dublin, UK: ICIS.
Agosto, A., & Cafferata, A. (2020). Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market. Risks, 8(2), 1-14. https://doi.org/10.3390/risks8020034
Antonopoulus, A. M. (2017). Mastering Bitcoin – Programming the Open Blockchain. O´Reilly Media, Sebastopol, CA.
Aysan, A. F., Khan, A. U., & Topuz, H. (2021). Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. Risks, 9(4), 1-13. https://doi.org/10.3390/risks9040074
Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. https://doi.org/10.1111/j.1467-9892.2006.00478.x
Bouri, E., Shahzad, S. J. H., & Roubaud, D. (2019). Co-explosivity in the cryptocurrency market. Finance Research Letters, 29 (C), 178-183. https://doi.org/10.1016/j.frl.2018.07.005
Chaum, D. (1983). Blind signatures for untraceable payments. In D. Chaum, R. Rivest, & A. Sherman (Eds.), Advances in Cryptology. Proceedings from Crypto 82 (pp. 199-203). Boston, MA: Springer.
Cheah, E., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, Vol. 130, May, 32-36. https://doi.org/10.1016/j.econlet.2015.02.029
Chen, C., Liu, L, & Zhao, N. (2020). Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19. Emerging Markets Finance and Trade, 56(10), 2298-2309. https://doi.org/10.1080/1540496X.2020.1787150
Chow, G. C. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
CoinMarketCap (2022). Today's Cryptocurrency Prices by Market Cap. Retrieved from: https://coinmarketcap.com/
Conlon, T., Corbet, S., & McGee, R. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. https://doi.org/10.1016/j.ribaf.2020.101248
Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, July, 101607. https://doi.org/10.1016/j.frl.2020.101607
Demir, E., Bilgin, M. H., Karabulut, G., & Doker, A. C. (2020). The relationship between cryptocurrencies and COVID-19 pandemic. Eurasian Economic Review, 10, 349-360. https://doi.org/10.1007/s40822-020-00154-1
Demmler, M., & Fernández Domínguez, A. O. (2022). Speculative bubble tendencies in time series of Bitcoin market prices. Cuadernos de Economía, 41(86), 159-183. https://doi.org/10.15446/cuad.econ.v41n86.85391
Díaz, A., Esparcia, C., & Huélamo, D. (2023). Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios, The North American Journal of Economics and Finance, 64, 101838. https://doi.org/10.1016/j.najef.2022.101838
Expansión (2022). ¿Qué es Ripple XRP y por qué es distinta a otras criptomonedas? Retrieved from: https://expansion.mx/mercados/2022/02/16/ripple-xrp-que-es
Ethereum (2023). The history of Ethereum. Retrieved from: https://ethereum.org/en/history/
Forbes (2023). Changpeng Zhao. Retrieved from: https://www.forbes.com/profile/changpeng-zhao/?sh=2fb0a79b6277
Gerlach, J. C., Demos, G., & Sornette, D. (2019). Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 2018. Royal Society Open Science, 6, 180643. https://doi.org/10.1016/j.irfa.2016.02.008
Goel, R., Ford, L. J., Obrizan, M., & Sharma, R. (2020). COVID-19 and the stock market: evidence from Twitter? Cornell University, arXiv:2011.08717, 8 pages. Retrieved from: https://arxiv.org/abs/2011.08717
Goodell, J. W., & Goutte, S. (2021). Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis. Finance Research Letter, 38, 101625. https://doi.org/10.1016/j.frl.2020.101625
Gujarati, D. N. & Porter, D. C. (2010). Econometría. Fifth edition, McGraw-Hill, Mexico-City et al.
Gupta, H., Chaudhary, R., & Gupta, S. (2021). COVID-19 Impact on Major Stock Markets. FIIB Business Review, 11(3), 1-11. https://doi.org/10.1177/2319714521994514
Hadri, K., & Rao, Y. (2008). Panel stationarity test with structural breaks. Oxford Bulletin of Economics and statistics, 70(2), 245-269. https://doi.org/10.1111/j.1468-0084.2008.00502.x
Härdle, W. K., Harvey, C. R., & Reule, R. C. (2020). Understanding cryptocurrencies. Journal of Financial Econometrics, 18(2), 181-208. https://doi.org/10.1093/jjfinec/nbz033
Huang, Y., Duan, K., & Urquhart, A. (2023). Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods, Journal of International Financial Markets, Institutions and Money, 82, 101687, https://doi.org/10.1016/j.intfin.2022.101687
Interdax (2019). Top 10 Cryptocurrency Events & Themes in 2019. Retrieved from: https://medium.com/interdax/2019-in-review-top-10-cryptocurrency-events-themes-cae71a4aa38c
Kindleberger, C., & Aliber, R. (2005). Manias, panics, and crashes: A history of financial crises. 5th ed., Hoboken, NJ: John Wiley & Sons, Inc.
Kristoufek, L. (2020). Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics. Cornell University, arXiv:2004.00047, 8 pages. Retrieved from: https://arxiv.org/abs/2004.00047
Kurozumi, E. (2002). Testing for stationarity with a break. Journal of Econometrics, 108(1), 63-99. https://doi.org/10.1016/S0304-4076(01)00106-3
Mariana, C. D., Ekaputra, I. A., & Husodo, Z. A. (2021). Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? Finance Research Letters, 38, 101798. https://doi.org/10.1016/j.frl.2020.101798
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.2307/2975974
Miraz, M. H., & Ali, M. (2018). Applications of Blockchain Technology beyond Cryptocurrencies. Annals of Emerging Technologies in Computing, 2(1), 1-6. https://doi.org/10.33166/AETiC.2018.01.001
Mnif, E., Salhi, B., Mouakha, K., & Jarboui, A. (2022). Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic, Review of Behavioral Finance, 14(4), 491-507. https://doi.org/10.1108/RBF-09-2021-0190
Montasser, G. E., Charfeddine, L., & Benhamed, A. (2022). COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis. Finance Research Letters, 46(A), 102362. https://doi.org/10.1016/j.frl.2021.102362
Moosa, I. A. (2020). The bitcoin: A sparkling bubble or price discovery? Journal of Industrial and Business Economics, 47 (1), 93-113. https://doi.org/10.1007/978-3-642-32946-3_29
Ocariz, E. B. (2019). Blockchain y Smart Contracts – La Revolución de la Confianza. Alfaomega Grupo Editor, Mexico-City, Mexico.
Priestley, M. B., & Rao, T. S. (1969). A test for non‐stationarity of time‐series. Journal of the Royal Statistical Society: Series B (Methodological), 31(1), 140-149.
Rahman, M. M., Guotai, C., Gupta, A. D., Hossain, M., & Abedin, M. Z. (2021). Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting. Economic Research. 1-18. https://doi.org/10.1080/1331677X.2021.1997626
Sah, A., & Patra, B. (2023). Dynamic Linkages Among Cryptocurrencies: The Role of COVID-19. Asian Economics Letters, 4(Early View). https://doi.org/10.46557/001c.70289
Samson, A. (2020, November 18). Bitcoin's revival: Boom or bubble? The Financial Times. Retrieved from: https://www.ft.com/content/a47090ee-fdf5-4cfa-9d17-47c56afad8c3
Schilling, L., & Uhlig, H. (2019). Some simple bitcoin economics. Journal of Monetary Economics, 106, October, 16-26. https://doi.org/10.1016/j.jmoneco.2019.07.002
Shehzad, K., Xiaoxing, L., & Kazouz, H. (2020). COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact? Finance Research Letters, 36, October. https://doi.org/10.1016/j.frl.2020.101669
SIGMA (2021). 2020 in Crypto – A review of the most important events in the market and trends to follow for 2021. Retrieved from: https://sigma.world/news/2020-in-crypto-a-review-of-the-most-important-events-in-the-market-and-trends-to-follow-for-2021/
Shu, M., Song, R., & Zhu, W. (2021). The 2021 Bitcoin Bubbles and Crashes—Detection and Classification. Stats, 4(4), 950-970. https://doi.org/10.3390/stats4040056
Taleb, N. N. (2021). Bitcoin, Currencies, and Fragility. Cornell University, arXiv:2106.14204, 6 pages. Retrieved from https://arxiv.org/abs/2106.14204
The Crypto Times (2022). 10 Most Influential Crypto Events of 2021. Retrieved from: https://www.cryptotimes.io/10-most-influential-crypto-events-of-2021/
WHO (2023). Corona Disease (COVID-19). Retrieved from: https://www.who.int/health-topics/coronavirus#tab=tab_1
WHO (2022). WHO Coronavirus (COVID-19) Dashboard. Retrieved from: https://covid19.who.int/
WHO (2020). Origin of SARS-CoV-2. Retrieved from:
Witt, A., Kurths, J., & Pikovsky, A. (1998). Testing stationarity in time series. Physical Review E, 58(2), 1800. https://doi.org/10.1103/PhysRevE.58.1800
yahoo!finance (2023a). IPC Mexico (^MXX). Retrieved from: https://finance.yahoo.com/quote/%5EMXX/history?p=%5EMXX
yahoo!finance (2023b). IBOVESPA (^BVSP). Retrieved from: https://finance.yahoo.com/quote/%5EBVSP/history?period1=1569888000&period2=1593475200&interval=1mo&filter=history&frequency=1mo&includeAdjustedClose=true
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Derechos de autor 2023 Michael Demmler
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
