比特币是抵御地缘政治风险的最佳避风港吗？

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-29 DOI:10.1016/j.frl.2024.106543

Messaoud Chibane, Nathalie Janson

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引用次数: 0

摘要

我们重新审视了众所周知的避险资产保护美国股市免受地缘政治风险影响的能力。使用标准普尔500指数和GPR指数每周数据，我们估计了一个崩溃模型，其中股票崩溃概率由地缘政治风险驱动。我们发现，在市场崩溃时，比特币和瑞士法郎是地缘政治风险的避风港，而黄金和美国国债则不然。我们的研究结果表明，比特币和瑞士法郎的保护性方面主要表现在股市的大幅波动中，而不是在适度波动中。

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Is Bitcoin the best safe haven against geopolitical risk ?

We revisit the ability of well-known safe havens to protect U.S equity against geopolitical risk. Using S&P 500 and GPR index weekly data we estimate a crash model where the equity crash probability is driven by geopolitical risk. We find that Bitcoin and the Swiss Franc function as safe havens in relation to geopolitical risk in times of market crashes while Gold and Treasury bonds do not. Our results show that the protective aspects of Bitcoin and the Swiss Franc mainly show through large stock market moves rather than during moderate variations.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance