比特币的经济价值：从波动性时机角度看投资组合再平衡

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-08-09 DOI:10.1016/j.najef.2024.102260

Jui-Cheng Hung , Hung-Chun Liu , J. Jimmy Yang

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引用次数: 0

摘要

我们从波动时机框架的角度研究了在传统投资组合中加入比特币而不是黄金的经济价值。利用期货数据，我们发现在鸽派货币政策时期，比特币比黄金更能增加投资组合的价值。然而，在快速加息期间，比特币会贬值，而黄金则提供了避风港和多样化优势。在存在交易成本的情况下，考虑在股票-债券投资组合中加入替代资产时，再平衡策略非常重要。鉴于加息和加密货币低迷的宏观经济环境，这项研究非常及时。

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The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing

We investigate the economic value of adding Bitcoin, instead of Gold, to a traditional portfolio from the perspective of a volatility timing framework. Using futures data, we find that Bitcoin adds more value than Gold does to the portfolio during periods of dovish monetary policy. However, during periods of rapid rate hikes, Bitcoin destroys value while Gold offers safe haven and diversification benefits. Rebalancing strategies matter when considering adding alternative assets to a stock–bond portfolio in the presence of transaction costs. This study is timely given the macroeconomic environment of rate hikes and the downturn of cryptocurrencies.

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.