探索比特币与商品回报之间的依赖关系:使用Gerber互相关的评估

Kokulo K. Lawuobahsumo, Bernardina Algieri, Leonardo Iania, A. Leccadito
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引用次数: 3

摘要

我们使用一种鲁棒的非线性依赖度量,即Gerber交叉相关统计量,来研究比特币与一组商品(即小麦、黄金、铂和原油WTI)之间的交叉依赖。Gerber统计量使我们能够获得更稳健的联合运动测量,因为它既不受金融时间序列特征的极大或极小运动的影响;因此,它剔除了噪声的数据,并允许我们来捕捉有效co-movements系列之间运动时“实质性”。重点关注2014-2022年期间,我们构建了Gerber统计量的自启动置信区间,并检验了直到滞后kmax的所有Gerber互相关都为零的null。我们的研究结果表明,当我们考虑同期相关性时,以及当我们采用当前比特币与滞后(一天、一周或一个月)商品回报之间的相关性时,比特币和商品价格之间的依赖程度都很低。此外,比特币与大宗商品回报之间的相互关联虽然很少,但在经济、健康和金融动荡时期显示出增加的趋势。在繁忙的市场时期,回报的相互关联增加可能是由于某些市场受到其他市场的传染效应,这也可以解释我们发现的波动性之间的强烈依赖。根据我们的研究结果,比特币不能被认为是“新的数字黄金”。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Exploring Dependence Relationships between Bitcoin and Commodity Returns: An Assessment Using the Gerber Cross-Correlation
We use a robust measure of non-linear dependence, the Gerber cross-correlation statistic, to study the cross-dependence between the returns on Bitcoin and a set of commodities, namely wheat, gold, platinum and crude oil WTI. The Gerber statistic enables us to obtain a more robust co-movement measure since it is neither affected by extremely large nor small movements that characterise financial time series; thus, it strips out noise from the data and allows us to capture effective co-movements between series when the movements are “substantial”. Focusing on the period 2014–2022, we construct the bootstrapped confidence intervals for the Gerber statistic and test the null that all the Gerber cross-correlations up to lag kmax are zero. Our results indicate a low degree of dependence between Bitcoin and commodities prices, both when we consider contemporaneous correlation and when we employ correlations between current Bitcoin and lagged (one day, one week, or one month) commodities returns. Further, the cross-correlation between Bitcoin and commodities’ returns, although scanty, shows an increasing trend during periods of economic, health and financial turbulence. This increased cross-correlation of returns during hectic market periods could be due to the contagion effect of some markets by others, which could also explain the strong dependence across volatilities we detected. Based on our results, Bitcoin cannot be considered the “new digital gold”.
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