{"title":"更长时间持有比特币:比特币的动态对冲能力","authors":"W. Chan, Minh Le, Yan Wendy Wu","doi":"10.2139/ssrn.3090582","DOIUrl":null,"url":null,"abstract":"This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"110","resultStr":"{\"title\":\"Holding Bitcoin Longer: The Dynamic Hedging Abilities of Bitcoin\",\"authors\":\"W. Chan, Minh Le, Yan Wendy Wu\",\"doi\":\"10.2139/ssrn.3090582\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency.\",\"PeriodicalId\":126646,\"journal\":{\"name\":\"PSN: Exchange Rates & Currency (International) (Topic)\",\"volume\":\"41 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-12-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"110\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"PSN: Exchange Rates & Currency (International) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3090582\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"PSN: Exchange Rates & Currency (International) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3090582","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Holding Bitcoin Longer: The Dynamic Hedging Abilities of Bitcoin
This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency.
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