Bitcoin jako instrument bazowy exchange-traded funds
DOI:
https://doi.org/10.33119/SIP.2018.163.2Słowa kluczowe:
bitcoin, giełdy bitcoina, exchange-traded fund, fundusz zarządzany aktywnie, fundusz zarządzany pasywnieAbstrakt
Bitcoin jest jedną z ważnych innowacji finansowych ostatnich lat, będącą wynikiem rozwoju technologicznego i informatyzacji rynku finansowego. Mimo stosunkowo krótkiej historii tej kryptowaluty, wykształciło się wiele giełd wyspecjalizowanych w jej obrocie, a na rynku finansowym pojawiły się pierwsze próby utworzenia opartych na niej instrumentów – pasywnie i aktywnie zarządzanych exchange-traded funds. W artykule przedstawiono te fundusze oraz, ze względu na brak dywersyfikacji ich portfeli, podjęto próbę określenia, czy inwestycja za ich pomocą jest lepsza od bezpośredniego lokowania środków na rynku bitcoina. Ponadto zidentyfikowano podstawowe czynniki ryzyka, związane z inwestowaniem w analizowane fundusze oraz dokonano ich klasyfikacji.
Downloads
Download data is not yet available.
Bibliografia
1. Azzi G., Bouri E., Hagfors L. I., Molnár P., Roubaud D., On the Hedge and Safe Haven Properties of Bitcoin: Is it Really More than a Diversifier?, Finance Research Letters 2017, vol. 20.
2. Baur D. G., Hong K., Lee A. D., Bitcoin: Medium of Exchange or Speculative Assets?, Accepted Manuscript, „Journal of International Financial Markets, Institutions & Money” 2017.
3. Brière M., Oosterlinck K., Szafarz A., Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin, „Journal of Asset Management” 2015, vol. 16.
4. Carrick J., Bitcoin as a Complement to Emerging Market Currencies, „Emerging Markets Finance & Trade” 2016, vol. 52.
5. Cheah E., Fry J., Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin, „Economic Letters” 2015, vol. 130.
6. Ciaian P., Kancs D., Rajcaniova M., The Digital Agenda of Virtual Currencies: Can BitCoin Become a Global Currency?, „Information Systems and e-Business Management” 2016, vol. 14.
7. Corbet S., Lucey B., Yarovya L., Datestamping the Bitcoin and Ethereum Bubbles, Accepted Manuscript, „Finance Research Letters” 2017.
8. EBC, Virtual Currency Schemes – a Further Analysis, Europejski Bank Centralny, Frankfurt 2015.
9. Glaser F., Haferkorn M., Siering M., Weber M. C., Zimmermann K., Bitcoin – Asset or Currency? Revealing Users’ Hidden Intentions, Proceedings of the European Conference on Information Systems (ECIS), Tel Aviv 2014.
10. Hileman G., Rauchs M., Global Cryptocurrency Benchmarking Study, Centre for Alternative Finance, Cambridge 2017.
11. Hill J. M., Hougan M., Nadig D., A Comprehensive Guide to Exchange Traded Funds (ETFs), CFA Research Institute Foundation, Nowy Jork 2015, http://www.cfapubs.org/doi/pdf/10.2470/rf.v2015.n3.1
12. ICI, 2017 Investment Company Fact Book. A Review of Trends and Activities in the Investment Company Industry, Investment Company Institute, 2017, https://www.ici.org /pdf/2017_factbook.pdf
13. Jajuga K., Jajuga T., Inwestycje. Instrumenty finansowe. Aktywa niefinansowe. Ryzyko finansowe. Inżynieria finansowa, Wydawnictwo Naukowe PWN, Warszawa 2015.
14. MacDonell A., Popping the Bitcoin Bubble: An Application of Log-Periodic Power Law Modeling to Digital Currency, Working Paper, 2014, s. 30, https://economics.nd.edu/ assets/134206/
mac_donell_popping_the_biticoin_bubble_an_application_of_log_periodic_power_law_modeling_to_digital_currency.pdf
15. Miller M., The Ultimate Guide to Bitcoin, Que Publishing, Indianapolis 2015.
16. Miziołek T., Pasywne zarządzanie portfelem inwestycyjnym – indeksowe fundusze inwestycyjne i fundusze ETF. Ocena efektywności zarządzania na przykładzie akcyjnych funduszy ETF rynków wschodzących, Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2013.
17. Nakamoto S., Bitcoin: A Peer-to-Peer Electronic Cash System, 2008, https://bitcoin.org/bitcoin.pdf, dostęp 21.12.2017.
18. Perez K., Urbaniak M., Bitcoin – wirtualny eksperyment czy waluta przyszłości?, „Ruch Prawniczy, Ekonomiczny i Socjologiczny” 2013, z. 4.
19. Wu C. Y., Pandey V. K., The Value of Bitcoin in Enhancing the Efficiency of an Investor’s Portfolio, „Journal of Financial Planning” 2014, vol. 27.
20. Xu L., Yin X., Does ETF Trading Affect the Efficiency of the Underlying Index?, „International Review of Financial Analysis” 2017, vol. 51.
Dokumenty prawne
1. Amendment No. 3 to Form S-1 Registration Statement under the Securities Act of 1933, SolidX Bitcoin Trust, 2017, SolidX Management, www.sec.gov/Archives/edgar/data/1668039/000119312517030817/d121870ds1a.htm#rom121870_5
2. Amendment No. 9 to Form S-1 Registration Statement under the Securities Act of 1933, Winklevoss Bitcoin Trust, Digital Asset Services, 2017, https://www.sec.gov/ Archives/edgar/data/1579346/000119312517034708/d296375ds1a.htm#toc296375_4
3. Order Disapproving a Proposed Rule Change, as Modified by Amendments No. 1 and 2, to BZX Rule 14.11 (e) (4), Commodity-Based Trust Shares, to List and Trade Shares Issued by the Winklevoss Bitcoin Trust, Securities and Exchange Commission, 2017a, https://www.sec.gov/rules/ sro/batsbzx/2017/34–80206.pdf
4. Order Disapproving a Proposed Rule Change, as Modified by Amendment No. 1, Relating to the Listing and Trading of Shares of the SolidX Bitcoin Trust under NYSE Arca Equities Rule 8.201, Securities and Exchange Commission, 2017b, https://www.sec.gov/rules/sro/nysearca/2017/34–80319.pdf
5. Registration Statement under the Securities Act of 1933, Bitcoin Investment Trust, Grayscale Investments, 2017, www.sec.gov/Archives/edgar/data/1588489/000119312 517013 693/d157414ds1.htm#tx157414_18
6. Registration Statement under the Securities Act of 1933, Post Effective Amendment No. 2,562 and/or Registration Statement under the Investment Company Act of 1940, Amendment No. 2,566, VanEck Vectors ETF Trust, VanEck, 2017, www.sec.gov/Archives/edgar/data/1137360/000093041317002900/c89143_485apos.htm#x1_c89143a003
7. Registration Statement under the Securities Act of 1933, Post-effective Amendment No. 47 and/or Registration Statement under The Investment Company Act of 1940. Amendment No. 49. Exchange Listed Funds Trust, Exchange Traded Concepts Trust, 2017, https://www.sec.gov/Archives/edgar/data/1547950/000139834417010753/fp00275 39_485apos.htm
8. Registration Statement under the Securities Act of 1933, Winklevoss Bitcoin Trust, Math-Based Asset Services, 2013, www.sec.gov/Archives/edgar/data/1579346/0001193 12513279830/d562329ds1.htm
Materiały internetowe
1. Bitcoinity, Bitcoin Exchanges, 2017, http://data.bitcoinity.org/markets/exchanges/USD /30d#volume_desc
2. Bitfinex, The Basics of Margin Trading on Bitfinex, 2017, https://support.bitfinex.com/hc/en-us/articles/115004555165‑The-basics-of-Margin-Trading-on-Bitfinex
3. BitMarket, Jak to działa?, 2017, https://www.bitmarket.pl/docs.php?file=primer.html
4. Bitstamp, Bitstamp Ltd Announces Phase II in Its Development, 2017, https://www.bitstamp.net/article/bitstamp-announces-phase-ii-its-development/
5. GDAX, Intro to Margin Trading, 2017, https://support.gdax.com/customer/portal/ articles/2725963‑intro-to-margin-trading
6. Gemini, About Us, 2017, https://gemini.com/about/
7. Gemini, Can I Trade on Margin?, 2017, https://gemini24.zendesk.com/hc/en-us/articles/204734505‑Can-I-trade-on-margin-
8. Grayscale Investments, Bitcoin Investment Trust. OTC Market Group Information and Disclosure Statement, 2014, https://grayscale.co/wp-content/uploads/2015/09/BIT-OTCQX–Information-and-Disclosure-Statement-3-6–15.pdf
9. Grayscale Investments, Bitcoin Investment Trust Sponsored by Grayscale, 2016, http://grayscale.co/wp-content/uploads/2016/09/BIT-Summary-Perf-Data-September-2016.pdf
10. Grayscale Investments, Overview, 2018, http://grayscale.co/bitcoin-investment-trust/
11. Kraken, Kraken. Bitcoin Exchange. Bitcoin Margin Trading, 2017, www.kraken.com/
12. Reuters, SolidX Files to Launch Bitcoin Exchange-traded Product, 2016, www.reuters.com/article/usa-bitcoin-solidxpartnersinc-idUSL4N19Y4FN
13. TradeBlock, XBX Information, 2017, https://tradeblock.com/markets/index/
2. Baur D. G., Hong K., Lee A. D., Bitcoin: Medium of Exchange or Speculative Assets?, Accepted Manuscript, „Journal of International Financial Markets, Institutions & Money” 2017.
3. Brière M., Oosterlinck K., Szafarz A., Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin, „Journal of Asset Management” 2015, vol. 16.
4. Carrick J., Bitcoin as a Complement to Emerging Market Currencies, „Emerging Markets Finance & Trade” 2016, vol. 52.
5. Cheah E., Fry J., Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin, „Economic Letters” 2015, vol. 130.
6. Ciaian P., Kancs D., Rajcaniova M., The Digital Agenda of Virtual Currencies: Can BitCoin Become a Global Currency?, „Information Systems and e-Business Management” 2016, vol. 14.
7. Corbet S., Lucey B., Yarovya L., Datestamping the Bitcoin and Ethereum Bubbles, Accepted Manuscript, „Finance Research Letters” 2017.
8. EBC, Virtual Currency Schemes – a Further Analysis, Europejski Bank Centralny, Frankfurt 2015.
9. Glaser F., Haferkorn M., Siering M., Weber M. C., Zimmermann K., Bitcoin – Asset or Currency? Revealing Users’ Hidden Intentions, Proceedings of the European Conference on Information Systems (ECIS), Tel Aviv 2014.
10. Hileman G., Rauchs M., Global Cryptocurrency Benchmarking Study, Centre for Alternative Finance, Cambridge 2017.
11. Hill J. M., Hougan M., Nadig D., A Comprehensive Guide to Exchange Traded Funds (ETFs), CFA Research Institute Foundation, Nowy Jork 2015, http://www.cfapubs.org/doi/pdf/10.2470/rf.v2015.n3.1
12. ICI, 2017 Investment Company Fact Book. A Review of Trends and Activities in the Investment Company Industry, Investment Company Institute, 2017, https://www.ici.org /pdf/2017_factbook.pdf
13. Jajuga K., Jajuga T., Inwestycje. Instrumenty finansowe. Aktywa niefinansowe. Ryzyko finansowe. Inżynieria finansowa, Wydawnictwo Naukowe PWN, Warszawa 2015.
14. MacDonell A., Popping the Bitcoin Bubble: An Application of Log-Periodic Power Law Modeling to Digital Currency, Working Paper, 2014, s. 30, https://economics.nd.edu/ assets/134206/
mac_donell_popping_the_biticoin_bubble_an_application_of_log_periodic_power_law_modeling_to_digital_currency.pdf
15. Miller M., The Ultimate Guide to Bitcoin, Que Publishing, Indianapolis 2015.
16. Miziołek T., Pasywne zarządzanie portfelem inwestycyjnym – indeksowe fundusze inwestycyjne i fundusze ETF. Ocena efektywności zarządzania na przykładzie akcyjnych funduszy ETF rynków wschodzących, Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2013.
17. Nakamoto S., Bitcoin: A Peer-to-Peer Electronic Cash System, 2008, https://bitcoin.org/bitcoin.pdf, dostęp 21.12.2017.
18. Perez K., Urbaniak M., Bitcoin – wirtualny eksperyment czy waluta przyszłości?, „Ruch Prawniczy, Ekonomiczny i Socjologiczny” 2013, z. 4.
19. Wu C. Y., Pandey V. K., The Value of Bitcoin in Enhancing the Efficiency of an Investor’s Portfolio, „Journal of Financial Planning” 2014, vol. 27.
20. Xu L., Yin X., Does ETF Trading Affect the Efficiency of the Underlying Index?, „International Review of Financial Analysis” 2017, vol. 51.
Dokumenty prawne
1. Amendment No. 3 to Form S-1 Registration Statement under the Securities Act of 1933, SolidX Bitcoin Trust, 2017, SolidX Management, www.sec.gov/Archives/edgar/data/1668039/000119312517030817/d121870ds1a.htm#rom121870_5
2. Amendment No. 9 to Form S-1 Registration Statement under the Securities Act of 1933, Winklevoss Bitcoin Trust, Digital Asset Services, 2017, https://www.sec.gov/ Archives/edgar/data/1579346/000119312517034708/d296375ds1a.htm#toc296375_4
3. Order Disapproving a Proposed Rule Change, as Modified by Amendments No. 1 and 2, to BZX Rule 14.11 (e) (4), Commodity-Based Trust Shares, to List and Trade Shares Issued by the Winklevoss Bitcoin Trust, Securities and Exchange Commission, 2017a, https://www.sec.gov/rules/ sro/batsbzx/2017/34–80206.pdf
4. Order Disapproving a Proposed Rule Change, as Modified by Amendment No. 1, Relating to the Listing and Trading of Shares of the SolidX Bitcoin Trust under NYSE Arca Equities Rule 8.201, Securities and Exchange Commission, 2017b, https://www.sec.gov/rules/sro/nysearca/2017/34–80319.pdf
5. Registration Statement under the Securities Act of 1933, Bitcoin Investment Trust, Grayscale Investments, 2017, www.sec.gov/Archives/edgar/data/1588489/000119312 517013 693/d157414ds1.htm#tx157414_18
6. Registration Statement under the Securities Act of 1933, Post Effective Amendment No. 2,562 and/or Registration Statement under the Investment Company Act of 1940, Amendment No. 2,566, VanEck Vectors ETF Trust, VanEck, 2017, www.sec.gov/Archives/edgar/data/1137360/000093041317002900/c89143_485apos.htm#x1_c89143a003
7. Registration Statement under the Securities Act of 1933, Post-effective Amendment No. 47 and/or Registration Statement under The Investment Company Act of 1940. Amendment No. 49. Exchange Listed Funds Trust, Exchange Traded Concepts Trust, 2017, https://www.sec.gov/Archives/edgar/data/1547950/000139834417010753/fp00275 39_485apos.htm
8. Registration Statement under the Securities Act of 1933, Winklevoss Bitcoin Trust, Math-Based Asset Services, 2013, www.sec.gov/Archives/edgar/data/1579346/0001193 12513279830/d562329ds1.htm
Materiały internetowe
1. Bitcoinity, Bitcoin Exchanges, 2017, http://data.bitcoinity.org/markets/exchanges/USD /30d#volume_desc
2. Bitfinex, The Basics of Margin Trading on Bitfinex, 2017, https://support.bitfinex.com/hc/en-us/articles/115004555165‑The-basics-of-Margin-Trading-on-Bitfinex
3. BitMarket, Jak to działa?, 2017, https://www.bitmarket.pl/docs.php?file=primer.html
4. Bitstamp, Bitstamp Ltd Announces Phase II in Its Development, 2017, https://www.bitstamp.net/article/bitstamp-announces-phase-ii-its-development/
5. GDAX, Intro to Margin Trading, 2017, https://support.gdax.com/customer/portal/ articles/2725963‑intro-to-margin-trading
6. Gemini, About Us, 2017, https://gemini.com/about/
7. Gemini, Can I Trade on Margin?, 2017, https://gemini24.zendesk.com/hc/en-us/articles/204734505‑Can-I-trade-on-margin-
8. Grayscale Investments, Bitcoin Investment Trust. OTC Market Group Information and Disclosure Statement, 2014, https://grayscale.co/wp-content/uploads/2015/09/BIT-OTCQX–Information-and-Disclosure-Statement-3-6–15.pdf
9. Grayscale Investments, Bitcoin Investment Trust Sponsored by Grayscale, 2016, http://grayscale.co/wp-content/uploads/2016/09/BIT-Summary-Perf-Data-September-2016.pdf
10. Grayscale Investments, Overview, 2018, http://grayscale.co/bitcoin-investment-trust/
11. Kraken, Kraken. Bitcoin Exchange. Bitcoin Margin Trading, 2017, www.kraken.com/
12. Reuters, SolidX Files to Launch Bitcoin Exchange-traded Product, 2016, www.reuters.com/article/usa-bitcoin-solidxpartnersinc-idUSL4N19Y4FN
13. TradeBlock, XBX Information, 2017, https://tradeblock.com/markets/index/
Pobrania
Opublikowane
2019-08-07
Jak cytować
Włosik, K. (2019). Bitcoin jako instrument bazowy exchange-traded funds. Studia I Prace Kolegium Zarządzania I Finansów , (163), 25–45. https://doi.org/10.33119/SIP.2018.163.2
Numer
Dział
Dział główny
