Bitcoin vs. Gold and S&P 500: Correlation analysis
While many want to believe that Bitcoin is a non-correlated asset, that doesn’t seem to be the truth. Though Bitcoin’s correlation with gold is diminishing, the asset’s correlation with the S&P 500 index is on the rise, as reported by the researchers at the crypto exchange Kraken.
Kraken Intelligence, which is a research part of major US cryptocurrency exchange, Kraken, has released a “Bitcoin Volatility Report” for the month of June 2020.
Bitcoin’s volatility
The new report shows a 31% drop in Bitcoin trading, resulting in a 6-month low of Bitcoin’s annualized volatility.
The significant decline in volumes, as well as volatility, marked June as the least volatile month since February 2020.
Correlation with gold drops
Bitcoin’s 30-day correlation with gold went down and passed its one-year average of 0.24 to the downside. This signified a four-month low correlation of -0.49, the researchers announced. The move towards the downside followed a modestly positive trend that started in the second half of May (and ended above a one-year average of 0.50).
Correlation with the S&P 500 on the rise
While Bitcoin is showing fewer signs of correlation with gold, the cryptocurrency’s correlation with the stock market indexes such as the S&P 500 seems to be growing. Kraken Intelligence reported that the trend reversal caused Bitcoin’s correlation with the S&P 500 to climb to the highs of up to 0.65.
Kraken’s data on Bitcoin and S&P 500 correlation is not a “lone wolf” since other exchanges’ research shows the same. OKCoin posted data earlier this week, saying that the exchange witnessed high levels of Bitcoin and S&P 500 1-month realized correlation. Daniel Koehler, liquidity manager at OKCoin, said that “The last time we saw SPX and BTC 1-month realized volatility spread being this low was prior to the March 12th BTC price crash”.
