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Author
Casapía Casanova, Claudia Cristina
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Abstract
In the present research work, the behavior of the stock market price indices was analyzed and how this impacted the behavior of the cryptocurrency price indices through a linear model of ordinary least squares. The most important stock market indices and two of the largest capitalization cryptocurrencies were examined. Likewise, it was assessed whether the delays in the linear model are significant.
For this, the data was segmented into three subperiods: (1) January 2, 2014 - December 30, 2016, (2) January 3, 2017- December 31, 2019 and (3) January 2, 2020 - May 9, 2022. Then, the correlation matrix and the linear model of ordinary squares were carried out, considering the significance of the delays. The results show that, over the years, the correlation index has increased significantly for all stock market indices with respect to Bitcoin and Ethereum. Likewise, with an estimated linear regression model using the ordinary least squares method, the determination coefficient was found, which indicates the percentage by which each cryptocurrency varies with respect to the stock market indices. Being able to observe, that there is a large percentage that explains their behavior and that this has increased significantly according to periods.
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