Bitcoin, S&P 500, and Nasdaq-100 Beta Analysis

Overview

This notebook analyzes the relationship between Bitcoin and the S&P 500, Nasdaq-100 by calculating beta values across different timeframes. The key steps include:

1. Data Collection:

   • Retrieves daily historical price data for Bitcoin, S&P 500, and Nasdaq-100.

2. Data Validation:

   • Ensures stationarity and absence of autocorrelation in the returns series.

3. Beta Calculation:

   • Runs a simple linear regression using returns to calculate beta values for:
     • The entire historical dataset.
     • The past 8 years of data.
     • The post-COVID era (2022 onward).

Results (as of [January 27, 2025])

• Bitcoin's beta relative to the S&P 500:

  • Historical: 0.66
  • Last 8 years: 0.94
  • Post-COVID: 1.28

• Bitcoin's beta relative to the Nasdaq-100 (representing tech stocks):

  • Historical: 0.56
  • Last 8 years: 0.78
  • Post-COVID: 0.94