УДК 336.76 Биржевое дело. Денежный рынок. Рынок капитала. Управление частным состоянием
УДК 330.43 Эконометрия
Целью исследования является анализ влияния публичных заявлений, регуляторных действий и значимых событий на динамику рынка криптовалют на примере Bitcoin, Ethereum, Ripple и Dogecoin. В работе рассматриваются поведенческие реакции рынка на положительные и отрицательные информационные поводы, оценивается уровень волатильности и устойчивости криптовалют, а также исследуются корреляционные связи между основными цифровыми активами. Гипотеза исследования заключается в том, что внешние информационные факторы и рыночные настроения оказывают существенное влияние на ценовую динамику криптовалют, причем значимую роль играет уровень информационной волатильности. Методологическую основу исследования составляют методы графического и статистического анализа, включая корреляционный анализ и методы анализа и прогнозирования временных рядов (метод Холта). Информационная база включает более 2700 ежедневных наблюдений за период 2017–2024 гг. В результате исследования выявлена высокая корреляция между реакциями Bitcoin и Ethereum (0,93), а также между Dogecoin и Ethereum (0,84), что свидетельствует о сходных тенденциях ценовых движений при воздействии информационных факторов. Установлено, что более волатильные криптовалюты, такие как Dogecoin и Ripple, демонстрируют более сильные и продолжительные реакции на позитивные новости, тогда как относительно стабильные активы быстрее возвращаются к равновесному состоянию. Негативные события, особенно связанные с регуляторными мерами и кризисами, оказывают более длительное и значительное влияние на рынок. Кроме того, выявлена тенденция роста устойчивости криптовалютного рынка по мере увеличения числа инвесторов. Практическая значимость исследования заключается в разработке рекомендаций для инвесторов по учету информационной волатильности при управлении рисками и использовании краткосрочных ценовых колебаний, вызванных информационными шоками. Полученные результаты подтверждают гипотезу о значительном влиянии информационных факторов на криптовалютный рынок и способствуют более глубокому пониманию механизмов формирования цен и поведения инвесторов.
динамика рынка криптовалют, рыночная капитализация, ежедневная доходность криптовалют, настроение новостей о криптовалютах, эффект инфоповодов, манипулирование рынком, инфоволатильность криптовалют, поведение инвесторов, объем торгов
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