Рынки капитала и криптоактивов: тренды и поведение инвесторов

Abstract

The book presents the patterns of historical evolution of financial theories of asset prices (increasing subjectivity in the evaluation of financial risks) and models for predicting volatility of asset prices in the financial markets (accounting for structural shifts in the market). It collected the rich evidence of high accuracy and reliability of long-term memory models for predicting price and volatility of different classes of financial assets. The book includes a theoretical basis for the formation of the fair market value of digital financial assets as a new segment of the global capital market. The book examines the factors influencing the dynamics of the bitcoin price. The answer to the question is whether there is a correlation with energy price and financial index S&P 500 because of the presence of the effect of volatility flow characteristic of financial markets. It is proved that the volatility of bitcoin price has a significant correlation with the volatility of financial indices such as S&P 500 due to the presence of the effect of volatility overflow (spillover effect) characteristic of financial markets. But there is no clear relationship between the search queries in the Google system and the dynamics of the bitcoin price. Bitcoin prices are moving primarily under the influence of investor interest in cryptocurrency as an alternative save asset. The practical significance of the work lies in the structuring of existing knowledge about the factors influencing the price of bitcoin. These methods allowed to determine the most influential factors explaining the dynamics of bitcoin. The price changes in the period from 2009 to 2018 was due to the increase in the usefulness of bitcoin as a tool for settlements, which was facilitated by the loss of confidence in national currencies, uncertainty about the Brexit and new energy sources price decreasing. The monograph contains the necessary structural sections characterizing the capital market and crypto assets at the present stage. The monograph can be used as the main or additional literature in the study of such disciplines like investment banking, corporate finance, international practice of valuation, behavioral finance, derivative financial instruments, financial investment management, financial markets and finance. The monograph can be used effectively by teachers in various areas.