投资于加密货币市场或商品交易所。哪个更有效率?

S. Kozak, Seweryn Gajdek
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引用次数: 0

摘要

加密货币已成为全球金融体系的重要组成部分,近年来也是一种常见的投资工具。这项研究的目的是检查加密货币的投资是否比商品交易所的商品更有效。本研究是基于2011-2020年被分析仪器的每日报价进行的。采用Sharpe’s和Sortino’s指标估算投资效率水平。研究结果表明,平均而言,在整个研究期间,加密货币的投资承担着最高的风险,但同时也实现了最高的日回报率。因此,它们是比黄金、白银和WTI更有效的投资工具。加密货币的优势可能是由于长期持续的超低利率和债务证券投资吸引力的降低。事实证明,在加密货币市值中占比最大的比特币和以太坊是最有效的投资工具。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Investments in the cryptocurrency market or the commodity exchange. Which is more efficient?
Cryptocurrencies have become an essential element of the global financial system, and in recent years also a frequent investment tool. The aim of the study is to check whether investments in cryptocurrencies are more effective than in commodities on commodity exchanges. The study was conducted based on the daily quotations of the analyzed instruments in 2011–2020. The investment efficiency level was estimated using Sharpe’s and Sortino’s indicators. The research results showed that, on average, over the entire period under study, investments in cryptocurrencies were burdened with the highest risk, but at the same time achieved the highest daily rates of return. As a result, they were much more effective investment tools than gold, silver and WTI. The advantage of cryptocurrencies could be due to the long-term persistence of ultra-low interest rates and the reduced attractiveness of investment in debt securities. Bitcoin and etherum with the largest shares in cryptocurrency market capitalization have proven to be the most effective investment tools.
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