Análise da estrutura de dependência entre ETFS de criptoativos e outros ativos financeiros

Abstract

Understanding the dynamics of dependency among financial assets is crucial for decision-making in the process of financial asset allocation. This study aims to estimate the dependency structure between ETFs based on crypto-assets (HASH11, QBTC11, and QETH11) and other traditional investment assets (BOVA11, GOLD11, IVVB11, EURP11, TIP, and SHY). It seeks to understand, through three vine copula models, whether exposure to the cryptocurrency market provides a hedging structure against conventional assets. The results indicate that these assets are strongly related to each other, moderately associated with the American and European markets, and weakly correlated with Brazil, gold, and U.S. bonds. Furthermore, they can serve as a hedge for the European and American markets and as a diversification option for the Chinese and Brazilian markets, gold, and short-term U.S. and inflation-indexed bonds.