{"title":"流动性冲击、价格波动和风险管理策略:来自比特币及其他领域的证据","authors":"Tao Tang , Yanchen Wang","doi":"10.1016/j.mulfin.2022.100729","DOIUrl":null,"url":null,"abstract":"<div><p>This study examines the prediction power of market liquidity (the ease with which asset are traded) and funding liquidity (the ease with which traders can obtain funding) on the price volatilities of Bitcoin. We find that both market and funding liquidity shocks forecast future volatility. More importantly, liquidity shocks have a stronger and persistent effect on the long-term trend component of volatility. Exploiting the predictability of liquidity shocks, we propose a risk-managed strategy to manage extremely high volatility and avoid occasional large crashes in cryptocurrency markets. This novel strategy virtually eliminates crashes and improves the Sharpe ratio substantially against the benchmark buy-and-hold strategy. The outperformance is much stronger during the turbulent periods of cryptocurrencies. Hence, this paper provides important insights into cryptocurrency investment and portfolio management combining traditional assets and cryptocurrencies.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond\",\"authors\":\"Tao Tang , Yanchen Wang\",\"doi\":\"10.1016/j.mulfin.2022.100729\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study examines the prediction power of market liquidity (the ease with which asset are traded) and funding liquidity (the ease with which traders can obtain funding) on the price volatilities of Bitcoin. We find that both market and funding liquidity shocks forecast future volatility. More importantly, liquidity shocks have a stronger and persistent effect on the long-term trend component of volatility. Exploiting the predictability of liquidity shocks, we propose a risk-managed strategy to manage extremely high volatility and avoid occasional large crashes in cryptocurrency markets. This novel strategy virtually eliminates crashes and improves the Sharpe ratio substantially against the benchmark buy-and-hold strategy. The outperformance is much stronger during the turbulent periods of cryptocurrencies. Hence, this paper provides important insights into cryptocurrency investment and portfolio management combining traditional assets and cryptocurrencies.</p></div>\",\"PeriodicalId\":47268,\"journal\":{\"name\":\"Journal of Multinational Financial Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2022-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Multinational Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042444X22000019\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multinational Financial Management","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042444X22000019","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond
This study examines the prediction power of market liquidity (the ease with which asset are traded) and funding liquidity (the ease with which traders can obtain funding) on the price volatilities of Bitcoin. We find that both market and funding liquidity shocks forecast future volatility. More importantly, liquidity shocks have a stronger and persistent effect on the long-term trend component of volatility. Exploiting the predictability of liquidity shocks, we propose a risk-managed strategy to manage extremely high volatility and avoid occasional large crashes in cryptocurrency markets. This novel strategy virtually eliminates crashes and improves the Sharpe ratio substantially against the benchmark buy-and-hold strategy. The outperformance is much stronger during the turbulent periods of cryptocurrencies. Hence, this paper provides important insights into cryptocurrency investment and portfolio management combining traditional assets and cryptocurrencies.
期刊介绍:
International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.