Bitcoin: Cointegração Entre o Mercado Brasileiro e o Mercado Americano / Bitcoin: A Cointegration Analysis Between the Brazilian Market and the American Market

O artigo tem como objetivo principal analisar a existencia de arbitragem no mercado brasileiro de Bitcoin por meio de comprovacao estatistica de que o mercado brasileiro e influenciado pelo mercado internacional, em especial o mercado americano. Os resultados indicam por meio do Teste de Johansen que existe cointegracao entre as variaveis analisadas MRCDBR e BITSTAMPUSD, o que nos leva a inferir que ha a possibilidade de arbitragem no mercado brasileiro de Bitcoin , uma vez que os vetores normalizados pela serie brasileira de Bitcoin – MRCDBR - mostram que as variacoes da serie americana - BITSTAMPUSD - influenciam mais o mercado nacional do que quando o movimento contrario e observado. Para alcance do objetivo estabelecido, foi utilizado o software “R” e foram analisadas duas series temporais diarias – preco de fechamento da corretora brasileira Mercado Bitcoin (MRCDBR) e preco de fechamento da corretora americana Bitstamp Bitcoin (BITSTAMPUSD) – para o periodo de Jan/15 a Abr/18. Palavras chaves: Moeda. Criptomoeda. Bitcoin. ABSTRACT This article aims to analyze the possibility of arbitration in the Brazilian market of Bitcoin by statistical evidences that the Brazilian market is influenced by the international market, especially the American market. The results indicate through the Johansen Test, that there is cointegration between the analyzed variables MRCDBR and BITSTAMPUSD, which leads us to infer that there is the possibility of arbitration in the Brazilian market of Bitcoin, since the vectors normalized by the Brazilian series of Bitcoin MRCDBR show that the variations of the American series BITSTAMPUSD influence more the national market than when the counter movement is observed. To reach this article objective, the software “R” was utilized and two daily time series were analyzed - closing price of the Brazilian Bitcoin exchange named Market Bitcoin (MRCDBR) and closing price of the American Bitcoin exchange named Bitstamp Bitcoin (BITSTAMPUSD) - for the period from Jan/15 to Apr/18. Keywords: Currency. Cryptocurrency. Bitcoin.