02-18-2022, 10:39 AM
Does Crypto move with the stock market? I did a full analysis and the results are su
<table> <tr><td> <a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/"> <img src="https://b.thumbs.redditmedia.com/F9aejONNfStA_jg2n51yEkTM87HFh73nfsNiF_bvb8c.jpg" alt="Does Crypto move with the stock market? I did a full analysis and the results are surprising." title="Does Crypto move with the stock market? I did a full analysis and the results are surprising." /> </a> </td><td> <!-- SC_OFF --><div class="md"><p>We hear a lot about how bitcoin moves with the US Market so here I ran a detail analysis. Word of caution though, correlation does not imply causality so if two things correlating we can't say for sure if they are influencing each other or is there another hidden variable.</p> <p><strong><em>Method</em></strong>: I download all the data from Yahoo finance for Bitcoin, S&P500 and others. Included in the download was also ethereum, gold and VIX. VIX is the "fear index". The merged data starts from 2017-Nov so that is where we would start.</p> <p><strong><em>Results of correlation for the entire range</em></strong></p> <p><a href="https://preview.redd.it/kskr569b8gi81.png?width=664&format=png&auto=webp&s=fd4d6b30a3b57c2e5cf9644c20968c5e42abdff9">https://preview.redd.it/kskr569b8gi81.png?width=664&format=png&auto=webp&s=fd4d6b30a3b57c2e5cf9644c20968c5e42abdff9</a></p> <p>each cells contains a correlation coefficient of the comparisons. A perfect correlation is 1, 0 is no correlation and -1 is anticorrelated, meaning if 1 goes up the other goes down.</p> <ul> <li>we see that S&P correlates very well with Nasdaq, at .9 which is almost perfect.</li> <li>S&P is anticorrelated with the fear index aka VIX and does not correlate with gold. Making gold a good hedge.</li> <li>However for the entire range, S&P only has a correlation of .23 with BTC. This is statistically significant <strong>but weaker than I would expect so I dug a little further and ran correlation for each year</strong>.</li> </ul> <p>​</p> <p><a href="https://preview.redd.it/coqcah739gi81.png?width=129&format=png&auto=webp&s=86e936c0d0cf346723b98e7b1ebbbc4ef3969db5">https://preview.redd.it/coqcah739gi81.png?width=129&format=png&auto=webp&s=86e936c0d0cf346723b98e7b1ebbbc4ef3969db5</a></p> <p>So as you can see the the correlation seems to be going up starting in 2020. There used to be no correlation but something happened around this time.</p> <p>Next I ran a correlation month by month to detect any trends. And it was again surprising that the each month the correlation changes so drastically, with some months even in in the anti correlated portion, meaning BTC is moving in the opposite direction.</p> <p>​</p> <p><a href="https://preview.redd.it/m2scttpe9gi81.png?width=1456&format=png&auto=webp&s=7b14df097fab38a977248030a8588d1acc0d7569">https://preview.redd.it/m2scttpe9gi81.png?width=1456&format=png&auto=webp&s=7b14df097fab38a977248030a8588d1acc0d7569</a></p> <p><em>Vertical dotted grey lines demarks years. Color green is when correlation > 0 and red < 0. The black horizontal lines is set to 0.</em></p> <p><strong><em>Summary</em></strong>.</p> <ol> <li>The idea that BTC has increase in correlation recently is only partially true as you can see even in 2017 there were months with high correlations. Thus the correlation between BTC and the market seem to change on a monthly basis. <ol> <li>Although on a global trend, the correlation is menacingly getting higher.</li> </ol></li> <li>there were some months were BTC was actually anticorrelated - at this point then it would be a perfect hedge for the stock market. The lowest months were the following. <strong>Note that its usually in the summer time</strong>.</li> </ol> <p><a href="https://preview.redd.it/lajmfkh4agi81.png?width=253&format=png&auto=webp&s=a9946a9e27ea104823c2af5a3e53b425965c4295">https://preview.redd.it/lajmfkh4agi81.png?width=253&format=png&auto=webp&s=a9946a9e27ea104823c2af5a3e53b425965c4295</a></p> <p>Here are the months with the highest correlations and interestingly this is usually in the winter time. hmmm. interesting.</p> <p>​</p> <p><a href="https://preview.redd.it/h49cetvmhgi81.png?width=239&format=png&auto=webp&s=063c5d8577b40f17e45876224e8609d6db9c7128">https://preview.redd.it/h49cetvmhgi81.png?width=239&format=png&auto=webp&s=063c5d8577b40f17e45876224e8609d6db9c7128</a></p> <p>TLDR: correlation of BTC with the market seem to change month by month and in some cases its even the opposite however year over year the correlation does seem to be going higher.</p> </div><!-- SC_ON --> submitted by <a href="https://www.reddit.com/user/greenappletree"> /u/greenappletree </a> <br/> <span><a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/">[link]</a></span> <span><a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/">[comments]</a></span> </td></tr></table>Kind Regards R
<table> <tr><td> <a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/"> <img src="https://b.thumbs.redditmedia.com/F9aejONNfStA_jg2n51yEkTM87HFh73nfsNiF_bvb8c.jpg" alt="Does Crypto move with the stock market? I did a full analysis and the results are surprising." title="Does Crypto move with the stock market? I did a full analysis and the results are surprising." /> </a> </td><td> <!-- SC_OFF --><div class="md"><p>We hear a lot about how bitcoin moves with the US Market so here I ran a detail analysis. Word of caution though, correlation does not imply causality so if two things correlating we can't say for sure if they are influencing each other or is there another hidden variable.</p> <p><strong><em>Method</em></strong>: I download all the data from Yahoo finance for Bitcoin, S&P500 and others. Included in the download was also ethereum, gold and VIX. VIX is the "fear index". The merged data starts from 2017-Nov so that is where we would start.</p> <p><strong><em>Results of correlation for the entire range</em></strong></p> <p><a href="https://preview.redd.it/kskr569b8gi81.png?width=664&format=png&auto=webp&s=fd4d6b30a3b57c2e5cf9644c20968c5e42abdff9">https://preview.redd.it/kskr569b8gi81.png?width=664&format=png&auto=webp&s=fd4d6b30a3b57c2e5cf9644c20968c5e42abdff9</a></p> <p>each cells contains a correlation coefficient of the comparisons. A perfect correlation is 1, 0 is no correlation and -1 is anticorrelated, meaning if 1 goes up the other goes down.</p> <ul> <li>we see that S&P correlates very well with Nasdaq, at .9 which is almost perfect.</li> <li>S&P is anticorrelated with the fear index aka VIX and does not correlate with gold. Making gold a good hedge.</li> <li>However for the entire range, S&P only has a correlation of .23 with BTC. This is statistically significant <strong>but weaker than I would expect so I dug a little further and ran correlation for each year</strong>.</li> </ul> <p>​</p> <p><a href="https://preview.redd.it/coqcah739gi81.png?width=129&format=png&auto=webp&s=86e936c0d0cf346723b98e7b1ebbbc4ef3969db5">https://preview.redd.it/coqcah739gi81.png?width=129&format=png&auto=webp&s=86e936c0d0cf346723b98e7b1ebbbc4ef3969db5</a></p> <p>So as you can see the the correlation seems to be going up starting in 2020. There used to be no correlation but something happened around this time.</p> <p>Next I ran a correlation month by month to detect any trends. And it was again surprising that the each month the correlation changes so drastically, with some months even in in the anti correlated portion, meaning BTC is moving in the opposite direction.</p> <p>​</p> <p><a href="https://preview.redd.it/m2scttpe9gi81.png?width=1456&format=png&auto=webp&s=7b14df097fab38a977248030a8588d1acc0d7569">https://preview.redd.it/m2scttpe9gi81.png?width=1456&format=png&auto=webp&s=7b14df097fab38a977248030a8588d1acc0d7569</a></p> <p><em>Vertical dotted grey lines demarks years. Color green is when correlation > 0 and red < 0. The black horizontal lines is set to 0.</em></p> <p><strong><em>Summary</em></strong>.</p> <ol> <li>The idea that BTC has increase in correlation recently is only partially true as you can see even in 2017 there were months with high correlations. Thus the correlation between BTC and the market seem to change on a monthly basis. <ol> <li>Although on a global trend, the correlation is menacingly getting higher.</li> </ol></li> <li>there were some months were BTC was actually anticorrelated - at this point then it would be a perfect hedge for the stock market. The lowest months were the following. <strong>Note that its usually in the summer time</strong>.</li> </ol> <p><a href="https://preview.redd.it/lajmfkh4agi81.png?width=253&format=png&auto=webp&s=a9946a9e27ea104823c2af5a3e53b425965c4295">https://preview.redd.it/lajmfkh4agi81.png?width=253&format=png&auto=webp&s=a9946a9e27ea104823c2af5a3e53b425965c4295</a></p> <p>Here are the months with the highest correlations and interestingly this is usually in the winter time. hmmm. interesting.</p> <p>​</p> <p><a href="https://preview.redd.it/h49cetvmhgi81.png?width=239&format=png&auto=webp&s=063c5d8577b40f17e45876224e8609d6db9c7128">https://preview.redd.it/h49cetvmhgi81.png?width=239&format=png&auto=webp&s=063c5d8577b40f17e45876224e8609d6db9c7128</a></p> <p>TLDR: correlation of BTC with the market seem to change month by month and in some cases its even the opposite however year over year the correlation does seem to be going higher.</p> </div><!-- SC_ON --> submitted by <a href="https://www.reddit.com/user/greenappletree"> /u/greenappletree </a> <br/> <span><a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/">[link]</a></span> <span><a href="https://www.reddit.com/r/CryptoCurrency/comments/sv4j3i/does_crypto_move_with_the_stock_market_i_did_a/">[comments]</a></span> </td></tr></table>Kind Regards R