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Tržišni rizici kriptovalutnog indeksa CRIX u odnosu na S&P500

In: Ekonomska politika u 2021. godini - Hrvatska poslije pandemije

Author

Listed:
  • Domagoj Sajter

    (University of Zagreb)

  • Borna Binder

Abstract

Usporedno s razvojem i širenjem kriptovaluta šire se i sustavi koji se na njima temelje, te je iz potrebe za analizom i praćenjem nove investicijske klase – kriptovaluta – nastao i kriptoindeks CRIX. Pitanje koje svi investitori postavljaju, bez obzira na klasu, vrstu i objekt investiranja, odnosi se na rizičnost, odnosno na moguće i očekivane gubitke. Cilj je ovoga rada mjeriti rizik ulaganja u kriptovalute usporedbom indeksa kriptovaluta CRIX i najčešće korištenog dioničkog indeksa S&P500 u razdoblju od šest godina (8/2014 – 8/2020), te razdoblju od dvije godine (8/2018 – 8/2020) kao podskupu prethodnoga. Pri tome će se izraziti rizična vrijednost (value-atrisk), i to metodom varijance-kovarijance te povijesnom metodom. Također se prezentiraju klasični indikatori prinosa rizičnosti (Sharpeov omjer i volatilnost). U promatranom razdoblju postoji disproporcionalnost: rizičnost kriptovaluta (ovisno o odabranoj mjeri) oko tri do četiri puta veća je od rizičnosti dionica, no prinosi su bili preko pet puta veći. Ovo svakako valja imati na umu pri razmatranju kriptovaluta kao potencijalnih objekata ulaganja. Kako su kriptovalute relativno novi instrumenti na financijskim tržištima, postoji izrazito pomanjkanje empirijskih istraživanja, te u navedenom prostoru ovaj rad nastoji pridonijeti svojim izvornim doprinosom.

Suggested Citation

  • Domagoj Sajter & Borna Binder, 2020. "Tržišni rizici kriptovalutnog indeksa CRIX u odnosu na S&P500," Tradicionalni skup Hrvatskog društva ekonomista u Opatiji - objavljena poglavlja, in: Josip Tica & Katarina Bačić (ed.), Ekonomska politika u 2021. godini - Hrvatska poslije pandemije, volume 28, chapter 6, pages 192-206, Hrvatsko društvo ekonomista (Croatian Society of Economists).
    • Handle: RePEc:hde:opchap:28-06
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    More about this item

    Keywords

    kriptovalute; bitcoin; CRIX; value-at-risk; tržišni rizik;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

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