THE ANALYSIS OF INTERDEPENDENCIES BETWEEN CAPITAL MARKET AND CRYPTOCURRENCY MARKET

Cryptocurrency markets are emerging markets that are evolving in line with the development of information technology, and the possibility of capital outflows from traditional capital markets into cryptocurrency markets is emerging. The aim of this paper is to investigate the periods in which capital outflows from the capital market to the cryptocurrency market occur and whether cryptocurrencies can serve as a safe haven in turbulent periods. The theoretical part systematically describes the properties of cryptocurrencies as alternative forms of investment. The empirical section analyzes two leading representatives of the capital and cryptocurrency markets - the S&P500 and Bitcoin exchange index - using Engle's dynamic conditional correlation model. The results show that the correlation between the two markets is time-varying, with its largest negative values picking up in late 2015, mid-2016 and early 2017, just when the volatility of the S & P500 index was the highest. This confirms that the cryptocurrency market is a safe haven in periods of high volatility in the US capital market.