以太坊的对冲和避险属性:围绕危机的证据

IF 2.8 Q2 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Journal of Decision Systems Pub Date : 2022-10-12 DOI:10.1080/12460125.2022.2133281

Talie Kassamany, Etienne Harb, Roland Baz

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引用次数: 1

摘要

鉴于以太坊的广泛范围及其去中心化应用的广泛范围，本文研究了其针对主要法定货币、美国和欧洲的股票和债券指数以及原油和黄金市场的对冲和避险能力。我们使用2016年1月至2021年2月的每日数据，通过选择包括美国总统选举、英国脱欧公投和新冠肺炎在内的四个全球事件，应用百分比回归和危机事件互动分析。我们发现，以太坊并不是针对法定货币、股票和债券指数以及黄金的对冲或避风港。然而，在平静和动荡时期，它确实是抵御原油和市场动荡期间抵御欧洲债券的强大避风港。该研究为监管机构和投资者提供了关于以太坊在美国和欧盟投资决策和保护金融市场参与者方面的潜在作用的见解。

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Hedging and safe haven properties of Ethereum: evidence around crises

Given the broad scope of Ethereum and the wide range of its decentralized applications, this paper investigates its hedging and safe haven capabilities against main fiat currencies, stock and bond indices in the US and Europe, and crude oil and gold markets. We use daily data from January 2016 until February 2021 and apply percentile regressions and crisis event interaction analysis by selecting four worldwide events including US presidential elections, the Brexit referendum, and COVID-19. We reveal that Ethereum does not act as a hedge or a safe haven against fiat currencies, stock and bond indices, and gold. However, it does act as a strong safe haven against crude oil in calm and turbulent periods and against European bonds during market turbulence. The study provides insights to regulators and investors into the potential role of Ethereum in investment decision-making and protecting financial market participants in the US and EU.

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来源期刊

Journal of Decision Systems OPERATIONS RESEARCH & MANAGEMENT SCIENCE-

CiteScore

6.30

自引率

23.50%

发文量