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Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions

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Listed:
  • Sabrina Aufiero
  • Antonio Briola
  • Tesfaye Salarin
  • Fabio Caccioli
  • Silvia Bartolucci
  • Tomaso Aste

Abstract

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.

Suggested Citation

  • Sabrina Aufiero & Antonio Briola & Tesfaye Salarin & Fabio Caccioli & Silvia Bartolucci & Tomaso Aste, 2025. "Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions," Papers 2505.14655, arXiv.org.
    • Handle: RePEc:arx:papers:2505.14655
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    File URL: http://arxiv.org/pdf/2505.14655
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    References listed on IDEAS

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    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Briola, Antonio & Vidal-Tomás, David & Wang, Yuanrong & Aste, Tomaso, 2023. "Anatomy of a Stablecoin’s failure: The Terra-Luna case," Finance Research Letters, Elsevier, vol. 51(C).
    6. Seung Ki Baek & Woo-Sung Jung & Okyu Kwon & Hie-Tae Moon, 2005. "Transfer Entropy Analysis of the Stock Market," Papers physics/0509014, arXiv.org, revised Sep 2005.
    7. Antonio Briola & Tomaso Aste, 2022. "Dependency structures in cryptocurrency market from high to low frequency," Papers 2206.03386, arXiv.org, revised Dec 2022.
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