Zhodnocení zajišťovacích vlastností kryptoměn a jejich role jako aktiva bezpečného přístavu

Abstract

This bachelor thesis examines the hedging properties of selected cryptocurrencies and their ability to function as safe haven assets during periods of increased market uncertainty. The main objective of the study is to determine whether cryptocurrencies, specifically Bitcoin, Ethereum, and Tether, can serve a similar role to traditional safe haven assets such as gold or U.S. government bonds. The analysis was conducted using rolling window correlations, which allow for monitoring the development of relationships between cryptocurrencies and the NASDAQ-100 stock index over time. The study focuses on a period that includes both calm market phases and crisis periods, particularly the COVID-19 pandemic. The data was processed based on daily closing price returns. The results show that Bitcoin and Ethereum do not exhibit stable hedging properties and cannot be considered safe haven assets. On the contrary, their correlation with the stock market increased during crisis periods. Tether demonstrated stability and the ability to reduce portfolio volatility. The findings are in line with the academic literature, which generally does not consider cryptocurrencies to be safe haven assets.