Análise da correlação do Bitcoin com o Índice Nasdaq-100

Abstract

Bitcoin is a cryptocurrency whose role in the financial system remains controversial; some proponents view it as a store of value, while skeptics regard it as a purely speculative asset—sensitive to major news events and prone to herd behavior. Against this backdrop, this study aims to analyze the time-varying correlation between Bitcoin returns and the Nasdaq-100 Index, seeking to determine whether a statistically significant correlation exists between the two assets and whether Bitcoin offers portfolio diversification potential relative to the stock market. To this end, historical closing price series for Bitcoin and the Nasdaq-100 from January 2021 to December 2025 were used and transformed into logarithmic returns. Analytical methods included the Jarque-Bera normality test and Q-Q plots, the Augmented Dickey-Fuller (ADF) unit root test to assess stationarity, and Pearson and Spearman correlation analyses, supplemented by rolling correlations using 30-day and 90-day windows. The results indicated that both series are stationary but do not follow a normal distribution; they revealed a moderate positive correlation between asset returns—with Pearson and Spearman coefficients of 0.3872 and 0.3620, respectively—a classification supported by Cohen’s (1988) criteria. Rolling correlation analysis showed that while the relationship was relatively stable on average (0.3699 for the 30-day window and 0.3709 for the 90-day window), it exhibited significant fluctuations throughout the period, linked to events such as the collapse of Terra/Luna and FTX, and the approval of spot Bitcoin ETFs in the US. Finally, despite methodological limitations related to differences in trading hours and the possibility of structural changes stemming from macroeconomic events, the study contributes to the empirical literature by providing up-to-date evidence on the relationship between Bitcoin and the Nasdaq-100 during a relatively unexplored period—including the approval of spot Bitcoin ETFs—thereby offering insights for investors and managers evaluating the cryptocurrency's potential for portfolio diversification vis-à-vis the traditional stock market.