活跃加密货币市场的结构变化分析

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-09-24 DOI:10.21315/aamjaf2022.18.2.4

C. Y. Tan, Y. Koh, Kok Haur Ng

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引用次数: 2

摘要

受加密货币市场频繁波动和过度波动的影响，本研究采用Bai和Perron的结构变化模型，结合交易量和自回归变量，检验了加密货币指数的平方收益率所代表的每日收盘价格、回报率和波动率的变化点的数量和位置，加密货币指数30，根据市值排名前十的加密货币。结果表明，价格序列的结构变化非常频繁，其次是2017年12月至2018年4月期间持续观察到的平方收益和收益序列。此外，研究结果还表明，这两个加密货币指数可能不利于作为反映整个研究期间整个加密货币市场的指标，因为与可能对加密货币数据建模有重大影响的前10个加密货币相比，这两种指数没有显示出一致的结构变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Structural Change Analysis of Active Cryptocurrency Market

Motivated by the large frequent price fluctuation and excessive volatility observed in the cryptocurrency market, this study adopts Bai and Perron’s structural change model by incorporating the trading volume and autoregressive variables to examine the number and location of change points in daily closing price, return and volatility proxied by the squared return of Cryptocurrency Index, Cryptocurrency Index 30, and the top 10 cryptocurrencies ranked according to market capitalisation. Results show that the structural changes occur very frequently for the price series, followed by squared return and return series which were consistently observed between December 2017 to April 2018. In addition, the results also reveal that the two cryptocurrency indices may not be beneficial as an indicator to reflect the whole cryptocurrency market for the entire studied period as these two indices do not display consistent structural change in contrast to the top 10 cryptocurrencies that might have significant implications for modelling the cryptocurrency data.

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets