加密货币、黄金和股票市场之间的溢出效应:对COVID-19大流行下对冲策略和投资组合多元化的影响

IF 2.3 Q2 ECONOMICS
Ahlem Lamine, Ahmed Jeribi, Tarek Fakhfakh
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引用次数: 0

摘要

本研究利用2018年8月24日至2021年1月29日的每日数据,分析了美国/中国股市、加密货币和黄金之间的静态和动态风险溢出。本研究为投资者和投资组合管理者提供了实际的政策启示。设计/方法/方法作者使用Diebold和Yilmaz(2012)基于向量自回归框架预测误差方差分解的溢出指数。这种方法使作者能够研究COVID-19大流行危机前后的回报和波动性溢出效应。首先,采用静态分析方法计算了收益溢出指数和波动溢出指数。其次,基于30天移动窗口溢出指数估算进行了动态分析。总体而言,研究结果显示市场之间存在显著溢出效应,特别是在2019冠状病毒病大流行期间。此外,加密货币和黄金市场是风险的净接受者。本研究也为投资者和投资组合管理者提供了实际的政策启示。已达成的研究结果表明,比特币(或以太坊)、黄金和股票的组合可能为美国和中国投资者提供多样化的机会。在新冠肺炎危机期间,黄金、比特币和以太坊可以被视为安全避风港或对冲工具。相比之下,稳定币(Tether和TrueUSD)不为美国和中国投资者提供对冲机会。本文的实证贡献在于研究了COVID-19大流行危机前后中美股市指数、黄金和加密货币之间的回报和波动溢出效应。这种贡献在帮助投资者在危机期间确定最佳多样化和对冲策略方面大有帮助。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
Purpose This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers. Design/methodology/approach The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation. Findings Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality/value The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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