Volatility dynamics analysis of Bitcoin (BTC-USD) and MicroStrategy (MSTR)

Ma, Huazhuo (2025) Volatility dynamics analysis of Bitcoin (BTC-USD) and MicroStrategy (MSTR). In: Faura-Martínez, Ursula and Nguyen, An, (eds.) Proceedings of ICFTBA 2024 Workshop: Human Capital Management in a Post-Covid World: Emerging Trends and Workplace Strategies. Advances in Economics, Management and Political Sciences. EWA Publishing, 189 - 198. ISBN 9781835588390

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Abstract

This study examines the volatility dynamics of Bitcoin (BTC-USD) and MicroStrategy (MSTR) from September 2019 to September 2024 using the GARCH (1,1) model. Volatility is a key measure of risk in the financial market, understanding its patterns is crucial for effective portfolio management, risk management, and corporate financial strategies. Bitcoin, while known to be volatile, is very unpredictable, and given the high holding of that on MicroStrategy's balance sheet, it is closely tagged to the volatility of Bitcoin. Critical periods, such as the COVID-19 and the subsequent crypto market downturn between 2022 and 2023, demonstrate the linkages between traditional equities and digital assets. The findings of such analysis will prove that MicroStrategy's volatility has indeed closely followed the footsteps of Bitcoin, especially during the 2024 rally in that market, including all its shocks and recoveries. These find great importance in understanding volatility due to the growing integration of digital assets into corporate portfolios. This research will offer investors and corporate managers alike extensive insight into risk management and portfolio diversification by accounting for volatility dynamics between cryptocurrencies and stocks.

Item Type:	Book Section
Additional Information:	© 2024 The Authors
Divisions:	Mathematics
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
Date Deposited:	24 Jan 2025 08:42
Last Modified:	24 Jan 2025 08:42
URI:	http://eprints.lse.ac.uk/id/eprint/127047

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