在2019冠状病毒病引发的金融危机中，数字资产是海合会股市的支撑吗

Q4 Economics, Econometrics and Finance

International Journal of Electronic Finance Pub Date : 2021-01-01 DOI:10.1504/ijef.2021.10043433

Anis Jarboui, A. Jeribi, S. Loukil, Mouna Aloui

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引用次数: 3

摘要

本研究通过非线性和非对称框架NARDL方法，考察了2019冠状病毒病期间五个海湾合作委员会国家五大加密货币、石油和黄金的避险属性，以揭示短期和长期的不对称性。利用2019年1月至2020年4月的每日数据，我们发现比特币和以太坊是海湾合作委员会在不稳定时期的避险资产;比特币是阿曼、沙特阿拉伯和阿布扎比的避险资产。以太坊是巴林、科威特和卡塔尔的避风港。此外，对科威特、卡塔尔、沙特阿拉伯和阿布扎比而言，石油是缓和时期的避险资产。我们还注意到，除了沙特阿拉伯没有显著改变其策略外，所有国家的隐藏策略都有有趣的不同。因此，投资组合经理可能会考虑将少数符合条件的加密货币和石油纳入投资组合以对冲风险。而在股票和加密市场上的投机者可能会采取点差策略。我们的研究对投资组合经理和财务顾问来说很有用，他们正在寻找最好的加密货币、黄金和石油来对冲股市指数的冲击。版权所有©2021 Inderscience Enterprises Ltd。

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Are digital assets backstops for GCC stock markets in COVID-19-led financial crisis

This study examines the safe haven properties of top five crypto-currencies, oil and gold for the five gulf cooperation council countries in view of COVID-19 period through a nonlinear and asymmetric framework NARDL methodology to uncover short- and long-run asymmetries. Using daily data from January 2019 to April 2020, we find that Bitcoin and Ethereum are safe haven assets for GCC in instability;Bitcoin is a safe haven for Oman, Saudi Arabia and Abu Dhabi. Ethereum is a safe haven for Bahrain, Kuwait and Qatar. Further, for Kuwait, Qatar, Saudi Arabia and Abu Dhabi, oil is a safe haven asset in mitigated period. We also notice that the strategies of hiding differ interestingly for all countries except for Saudi Arabia that does not significantly change its strategies. Thus, portfolio managers may consider few eligible crypto-currencies and oil for their inclusion into the portfolio to hedge risk. While, speculators acting in both stock and crypto market may go for a spread strategy. Our research is useful for portfolio managers and financial advisors looking for the best of crypto’s, gold and oil to hedge shocks in stock market indices. Copyright © 2021 Inderscience Enterprises Ltd.

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来源期刊

International Journal of Electronic Finance Business, Management and Accounting-Management of Technology and Innovation

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： IJEF publishes articles that present current practice and research in the area of e-finance. It is dedicated to design, development, management, implementation, technology, and application issues in e-finance. Topics covered include: -E-business and IT/IS investment -E-banking/m-banking strategy/implementation -Digitisation in financial supply chain -[E-]auditing, e-taxation, e-cash flow -Customer channel management -Data mining/warehousing -E-lending/e-payment/e-procurement -Cultural/social/political issues -E-trading/online auctions -Knowledge management -Business intelligence -E-government regulation -Security/privacy/trust -IT risk analysis -Human-computer interaction