加密货币对其他金融资产的波动传导及对冲机会研究

Aijaz Mustafa Hashmi, H. Raza, Arshad Hasan
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引用次数: 0

摘要

对特定投资组合的资产配置完全基于金融和非金融资产之间的分散属性。本文试图看到加密货币与其他金融资产多样化的可投资性和作用。该研究利用了比特币和gsp指数、摩根士丹利资本国际全球指数、摩根士丹利资本国际货币指数、COMEX收盘金价和欧佩克原油价格的大量数据。该调查旨在评估加密货币(比特币)与其他全球金融资产的方向和交换能力。本研究的假设是,使用多元BEKK-GARCH方法,比特币产生的波动是否会传递给其他金融资产。结果表明,比特币出现的任何冲击都显著降低了除msci全球指数回报外所有选定资产的波动性。该研究发现,在投资组合中使用加密货币将为投资者提供多样化的好处。结果更有利于风险厌恶型投资者,他们希望通过纳入负相关证券来对冲他们的投资组合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Investigation of Volatility Transmission and Hedging Opportunities of Cryptocurrencies towards other Financial Assets
Asset allocation towards a specific portfolio is solely based on the diversification property among financial as well as non-financial assets. This paper is an attempt to see the investibility and role of diversification of cryptocurrencies with other financial assets. The study is utilizing the extensive data on Bitcoins and GSPC-Index, MSCI-Global Index, MSCI-Currency Index, COMEX closing Gold Price, and OPEC Crude oil Prices. The investigation aims to assess the direction and swap capability of the cryptocurrency (Bitcoin) towards the other global financial assets. The hypothesis of the study is whether the volatility created by bitcoin is transmitted towards the other financial assets using multivariate BEKK-GARCH methodology. The results indicated that any shock that appeared in bitcoin is significantly decreasing the volatility of all selected assets except MSCI-Global Index returns. The study found that the use of cryptocurrencies into the portfolio would offer diversification benefits to investors. The results are more beneficial for the risk-averse investor, who wants to hedge their portfolio through the inclusion of the negatively correlated security.
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