2025/05/20 by Sabrina Aufiero, Aufiero, Sabrina, Antonio Briola +9 · 2 voices
Business, Management and Accounting · Computer Science · Economics, Econometrics and Finance · #Blockchain Technology Applications and Security #Context (archaeology) #Cryptocurrency #Diversification (marketing strategy) #Entropy (arrow of time) #Equity (law) #FOS: Computer and information sciences #FOS: Economics and business #FinTech, Crowdfunding, Digital Finance #Financial Risk and Volatility Modeling #General Finance (q-fin.GN) #Information Theory (cs.IT) #Portfolio #Statistical Finance (q-fin.ST) #Stock (firearms) #Transfer entropy #Treasury #cs.IT #q-fin.GN #q-fin.ST
paper · pdf · doi:10.48550/arxiv.2505.14655
openalex publication_date 2025/05/20 · arxiv published 2025/05/20 · arxiv updated 2025/05/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their first acquisition through April 2025. Using daily logarithmic returns, we first document significant positive co-movements via Pearson correlations and single factor model regressions, discovering an average BTC beta of 0.62, and isolating 12 companies, including Strategy (formerly MicroStrategy, MSTR), exhibiting a beta exceeding 1. We then classify firms into three groups reflecting their exposure to BTC, liquidity, and return co-movements. We use transfer entropy (TE) to capture the direction of information flow over time. Transfer entropy analysis consistently identifies BTC as the dominant information driver, with brief, announcement-driven feedback from stocks to BTC during major financial events. Our results highlight the critical need for dynamic hedging ratios that adapt to shifting information flows. These findings provide important insights for investors and managers regarding risk management and portfolio diversification in a period of growing integration of digital assets into corporate treasuries.