基于VAR的区块链数字货币与市场风险分析

2021 International Conference on Computer, Blockchain and Financial Development (CBFD) Pub Date : 2021-04-01 DOI:10.1109/CBFD52659.2021.00102

Yi Jing, Haiqi Li, Shuheng Ren, Yuan Wang, Chu-Min Huang, Leqi Xu

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引用次数: 0

摘要

区块链数字货币作为一种金融资产，备受投资者关注。本文以比特币价格数据和三种股票市场数据为基础，构建二阶滞后VAR模型来检验它们的影响机制。结论:比特币与股市指数之间不存在因果关系。验证原来的假设:比特币可以更好地规避市场风险，具有市场对冲资产的属性。本文为特殊货币与金融市场的交叉研究做出了贡献。

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Analysis of blockchain digital currency and market risk based on VAR

As a kind of financial asset, blockchain digital currency attracts investors' attention. Based on bitcoin price data and three kinds of stock market data, this paper constructs a second-order lag VAR model to test their influence mechanism. Conclusion: there is no causal relationship between bitcoin and stock market index. Verify the original hypothesis: bitcoin can better avoid market risk and has the property of market hedging assets. This paper makes a contribution to the cross study of special currency and financial market.

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来源期刊

2021 International Conference on Computer, Blockchain and Financial Development (CBFD)

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