Correlation bitcoin vix

VIX, Crypto, options \u0026 futures for prudent investors?

This has been presented in the main Results section, but it needs to be stressed that gold shows favorable properties with respect to portfolio diversification utility compared to Bitcoin. The correlations grow for higher quantiles even though they do not cross to positive ones , i. And even though the correlation increases for the lowest quantiles, i. In addition, we have the connection to the VIX, where gold is again favored in most portfolio-related aspects. We see positive correlations for the bulk of the distribution, i.

The second comparison is to other stock indices, mostly to get the correct grasp of the scale of the correlations presented above. There are several interesting observations.

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But again, its connection weakens for the extreme cases, more markedly for the calmer periods. And fourth, BTC shows similar properties to the NIKKEI, showing mild correlations for the whole spectrum of quantiles, with slightly higher correlations for the extreme negative movements and practically zero correlation for the extremely positive movements. Figure 4. The last perspective and comparison we provide is to a more general cryptocurrency index. Here, we utilize the CRIX index 2 , which is constructed as a capitalization-weighted price index [ 20 ].

Even though the index is majorly formed by Bitcoin, the connection to the stock markets is quite distinct. The diversified cryptocurrency index thus does not follow the stock market index in negative events, which is a good sign for the identification as a safe haven even though it actually goes against the stock market in the extreme positive events. These results are mostly confirmed for the dynamics between the CRIX and VIX indices, where we observe mildly positive correlations for the lowest quantiles of the VIX calm periods that decrease with increasing quantile.

Above quantile 0. However, for the most extreme cases, the quantile correlation between CRIX and VIX grows to zero, whereas for Bitcoin, we found a rather sharp drop to negative correlations. The results for the CRIX index are thus more favorable for the safe-haven label when compared to Bitcoin alone.

A diversified portfolio of cryptocurrencies has more desirable properties, both as a diversifier generally lower correlations for all quantiles compared to Bitcoin alone and as a safe haven lower correlations with the stock index in the lowest quantiles and correlations closer to zero for the turbulent periods measured by the VIX index. Nevertheless, both of these features are more profoundly represented by gold even compared to the CRIX index. Figure 5.

This is true even if a broader cryptocurrency index is considered. We do not, however, want to discredit Bitcoin in this aspect completely, as the COVID pandemic and the financial market turmoil induced by it are only the first real tests to its status. In addition, the potential safe-haven properties of Bitcoin and cryptocurrencies in general are certainly not the only factor making cryptocurrencies attractive and sought after. Nevertheless, at this point and with respect to the safe haven contest, gold emerges as a clear winner.

The author declares that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest. We considered this possible issue and performed the analysis on both the levels and returns of the VIX index. The results are qualitatively the same.

Bitcoin Bulls Beware: Crypto Collapsed The Last Time VIX Crushed Stocks

Note that the distinction between logarithmic and original series plays no role here, as we apply a quantile-based method and logarithm is a monotonous transformation. Optimizing SHA in Bitcoin mining. Cryptography and Security Systems. Lublin: Springer The financial economics of gold—a survey. Int Rev Financ Anal. Markowitz HM. Portfolio selection. J Finance. CrossRef Full Text. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financ Rev. Does gold act as a hedge or a safe haven for stocks?

A smooth transition approach. Econ Model.


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Investigating the relationship between volatilities of cryptocurrencies and other financial assets

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