Влияние рыночных шоков биткоина на криптофонды 2015–2025 гг.

Актуальность темы исследования связана с развитием рынка криптовалют стремительными темпами. Биткоин как первая и наиболее капитализированная криптовалюта оказывает ощутимое влияние на весь сектор. Его высокая волатильность и чувствительность к внешним шокам не только открывают инвестиционные перспективы, но и несут серьезные риски для участников рынка, особенно для криптофондов – специализированных структур, управляющих цифровыми активами. Рыночные потрясения, вызванные макроэкономическими изменениями, новыми законами, технологическими прорывами или массовыми ликвидациями на биржах, способны резко повлиять на цену биткоина. Рассмотрено, как именно такие шоки влияли на криптовалютные фонды с 2015 г. по 2025 г., какие механизмы передают это влияние, как менялись портфели фондов, какие стратегии помогали снизить риски и адаптироваться к нестабильной рыночной среде. Новизна исследования заключается в комплексном анализе влияния рыночных шоков биткоина на криптофонды в долгосрочной перспективе (2015–2025 гг.) с учетом эволюции стратегий управления активами, механизмов трансмиссии волатильности и устойчивости фондов к макроэкономическим и рыночным потрясениям. В отличие от большинства работ, сосредоточенных на краткосрочной волатильности криптовалют, настоящее исследование рассматривает системные изменения в структуре фондов, динамике их активов под управлением и инвестиционных подходах в условиях кризисных событий, таких как крахи рынка в 2018 г., 2020 г. и 2022 г. Доказано, что применение методов статистического моделирования и анализа временных рядов позволяет выявить закономерности адаптации криптофондов к изменчивой рыночной среде и предложить практические рекомендации по управлению рисками.

1. Cabelkova I., Strielkowski W., Firsova I., Korovushkina M. Public acceptance of renewable energy sources: A case study from the Czech Republic. Energies. 2020;13:1742.

2. Cabelkova I., Strielkowski W., Streimikiene D., Cavallaro F., Streimikis J. The social acceptance of nuclear fusion for decision making towards carbon free circular economy: Evidence from Czech Republic. Technol. Forecast. Soc. Chang. 2021;163:120477.

3. Candila V., Maximov D., Mikhaylov A., Moiseev N., Senjyu T., Tryndina N. On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era. Energies. 2021;14:8046. https://doi.org/10.3390/en14238046

4. Castaneda M., Zapata S., Aristizabal A. Assessing the effect of incentive policies on residential PV investments in Colombia. Energies. 2018;11:2614.

5. Ciaian P., Rajcaniova M., D’Artis K. The digital agenda of virtual currencies: Can BitCoin become a global currency? Information Systems and e-Business Management. 2016;14:883–919.

6. Chernov S.B., Motin A.V., Asacheva D.E. Regulation of digital assets: the concept and global experience. Journal of Economic Studies. 2024;241:13–20.

7. Cocco L., Tonelli R., Marchesi M. Bitcoin as a Safe Haven during COVID-19 Disease. Future Internet. 2022;14:98.

8. Corbet S., Lucey B., Urquhart A., Yarovaya L. Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis. 2019;62:182–199.

9. Crowe J.A., Li R. Is the just transition socially accepted? Energy history, place, and support for coal and solar in Illinois, Texas, and Vermont. Energy Res. Soc. Sci. 2020;59:101309.

10. Dastgir S., Demir E., Downing G., Gozgor G., Lau C.K.M. The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test. Finance Research Letters. 2019;28:160–164.

11. Demir E., Gozgor G., Lau C.K.M., Vigne S.A. Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters. 2018;26:145–149.

12. Dyhrberg A.H., Foley S., Svec J. How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets. Economics Letters. 2018;171:140–143.

13. Dyhrberg A.H. Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters. 2016;16:139–144.

14. Elavarasan R.M., Selvamanohar L., Raju K., Vijayaraghavan R.R., Subburaj R., Nurunnabi M., Khan I.A., Afridhis S., Hariharan A., Pugazhendhi R. et al. A holistic review of the present and future drivers of the renewable energy mix in Maharashtra, State of India. Sustainability. 2020;12:6596.

15. Elliott M., Georg C.P., Hazell J. Systemic risk shifting in financial networks. J. Econom. Theory. 2021;191:105157.

16. Flannery M.J., Aris A. Protopapadakis. Macroeconomic Factors Do Influence Aggregate Stock Returns. Review of Financial Studies. 2002;15:751–782.

17. Frattolillo A., Canale L., Ficco G., Mastino C.C., Dell’Isola M. Potential for building facade-integrated solar thermal collectors in a highly urbanized context. Energies. 2020;13:5801.

18. Fry J., Eng-Tuck C. Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis. 2016;47:343–352.

19. Fry J. Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? Economics Letters. 2018;171:225–229.

20. Funashima Y., Iizuka N., Ohtsuka Y. GDP announcements and stock prices. Journal of Economics and Business. 2020;108:105872. Galati G., Ho C. Macroeconomic News and the Euro/Dollar Exchange Rate. Economic Notes. 2003;32:371–398.

21. Ganowski S., Rowlands I. Read all about it! Comparing media discourse on energy storage in Canada and the United Kingdom in a transition era. Energy Res. Soc. Sci. 2020;70:101709.

22. Gurrib I., Kweh Q.L., Nourani M., Ting I.W.K. Are Cryptocurrencies Affected by Their Asset Class Movements or News Announcements? Malaysian Journal of Economic Studies. 2019;56:201–225.

23. Haq I.U., Maneengam A., Chupradit S., Suksatan W., Huo C. Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review. Risks. 2021;9:163.

24. Hoque M.E., Low S.-W. Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation. Risks. 2022;10:136. https://doi.org/10.3390/risks10070136

25. Jackson J.K. Global economic effects of COVID-19. Congressional Research Service. 2021.

26. Kenourgios D., Umar Z., Lemonidi P. On the effect of credit rating announcements on sovereign bonds: International evidence. International Economics. 2020;163:58–71.

27. Khan E.A., Royhan P., Rahman M.A., Mostafa A., Rahman M., Rahman M. The impact of enviropreneurial orientation on small firms’ business performance: The mediation of green marketing mix and eco-labeling strategies. Sustainability. 2019;12:221.

28. Krechko O., Mikhaylov A. Global electricity generation from renewable sources using fuzzy sets and spatial analysis: revolution in solar and wind energy in BRICS countries. Quality and Quantity. 2025;59:1553–1571. https://doi.org/10.1007/s11135-024-02033-2

29. Liang Q., Sun W., Li W., Yu F. Media effects matter: Macroeconomic announcements in the gold futures market. Economic Modelling. 2021;96.

30. Machalek D., Mohammadi K., Powell K.M. State-by-State comparison of combined heat and power to photovoltaic installations at manufacturing facilities with heat and power loads. Sustain. Energy Technol. Assess. 2021;47:101502.

31. Makholm J.D. Decarbonization and the future of gas distributors. Clim. Energy 2021;37:15–19.

32. Mikhaylov A. Understanding the risks associated with wallets, depository services, trading, lending, and borrowing in the crypto space. Journal of Infrastructure, Policy and Development. 2023;3(7):2223. https://doi.org/10.24294/jipd.v7i3.2223

33. Mikhaylov A., Bhatti M.I.M. The link between DFA portfolio performance, AI financial management, GDP, government bonds growth and DFA trade volumes. Quality and Quantity. 2025;59:339–356. https://doi.org/10.1007/s11135-024-01940-8

34. Mikhaylov A., Yousif N.B.A., Dincer H., Yuksel S., Karpyn Z. Analysis of the knowledge and innovation-based customer expectations for the green crypto assets in investment strategies using artificial intelligence and facial expression-based fuzzy modelling. Quality and Quantity. 2025;59:2861–2890. https://doi.org/10.1007/s11135-025-02098-7

35. Mutalimov V., Kovaleva I., Mikhaylov A., Stepanova D. Assessing regional growth of small business in Russia. Entrepreneurial Business and Economics Review. 2021;3(9):119–133. https://doi.org/10.15678/EBER.2021.090308

36. Muzic I., Grzeta I. Expectations of Macroeconomic News Announcements: Bitcoin vs. Traditional Assets. Risks. 2022;10:123. https://doi.org/10.3390/risks10060123

37. Neagu B.-C., Ivanov O., Grigoras G., Gavrilas M., Istrate D.-M. New market model with social and commercial tiers for improved prosumer trading in microgrids. Sustainability. 2020;12:7265.

38. Qin X. Oil shocks and financial systemic stress: International evidence. Energy Econ. 2020;92:104945.

39. Raugei M., Kamran M., Hutchinson A. A prospective net energy and environmental life-cycle assessment of the UK electricity grid. Energies. 2020;13:2207.

40. Rizwan M.S., Ahmad G., Ashraf D. Systemic risk, Islamic banks, and the COVID-19 pandemic: an empirical investigation. Emerg. Mark. Rev. 2022;100890. https://doi.org/10.1016/j.ememar.2022.100890

41. Rizwan M.S., Ahmad G., Ashraf D. Systemic risk: the impact of COVID-19. Finan. Res. Letters. 2020;36:101682. https://doi.org/10.1016/j.frl.2020.101682.

42. Santana-Gallegoa M., Perez-Rodriguez J.V. International trade, exchange rate regimes, and financial crises. N. Am. J. Econ. 2019;85–95.

43. Sediqi M.M., Nakadomari A., Mikhaylov A., Krishnan N., Lotfy M.E., Yona A., Senjyu T. Impact of Time-of-Use Demand Response Program on Optimal Operation of Afghanistan Real Power System. Energies. 2022;15:296. https://doi.org/10.3390/en15010296

44. Sovacool B.K., Schmid P., Stirling A., Walter G., MacKerron G. Differences in carbon emissions reduction between countries pursuing renewable electricity versus nuclear power. Nat. Energy 2020;5:928–935.

45. Tronzano M. Safe-haven assets, financial crises, and macroeconomic variables: Evidence from the last two decades (2000–2018). Journal of Risk and Financial Management. 2020;13:40.