揭示新兴股市指数与加密货币之间的联系

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY
Wajid Shakeel Ahmed, Ahsan Mehmood, Talha Sheikh, Allah Bachaya
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引用次数: 1

摘要

本文使用分数积分和协积分技术研究了加密货币与新兴股市指数之间的关系。特别地,分数积分用于检验单个资产的随机性质,分数协整用于分析二元连通性。我们的发现揭示了在大多数情况下不存在均值回归,这表明序列具有很高的持久性。此外,双变量分析揭示了加密货币价格和股指之间的脱节。令人惊讶的是,使用条件波动率而不是价格出现了不同的情况。类似地,基于条件波动率的估计揭示了单变量分析中均值回归的证据。有一些证据表明,加密货币和新兴股市指数之间存在波动性协整。我们的研究结果表明,对数字货币的投资决策应该谨慎。由于加密货币具有高度的持久性,极易波动,这可能会使其适得其反。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Unveiling the linkages between emerging stock market indices and cryptocurrencies
This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of individual assets and fractional cointegration to analyse bivariate connectedness. Our findings unveil the absence of mean reversion in majority cases which indicates high persistence in series. Furthermore, bivariate analysis reveals disconnection between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market indices. Our findings implies that investment decision regarding digital currencies should be taken cautiously. As cryptocurrencies are extremely volatile with high degree of persistence which can make them counterproductive.
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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