黄金、股市和地缘政治的不确定性对比特币价格和波动性的影响

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2020-11-10 DOI:10.1142/s2194565920500207

N. Kyriazis

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引用次数: 6

摘要

本文通过采用自回归条件异方差(ARCH)和广义ARCH (GARCH)规范，研究了比特币、黄金和高度创新的不确定性指标之间的关系。调查期间为2012年3月至2020年3月。计量经济学结果表明，比特币收益和波动率受到黄金收益和标准普尔500波动率指数(VIX)的正向影响，但Caldara和Iacoviello(2019)创新的地缘政治风险指数对比特币市场产生负向影响。证据表明，简单非对称ARCH方法最适合估算的目的。我们的研究结果揭示了比特币行为的重要方面，并为包含比特币和黄金的投资组合决策提供了指导。这使得经济主体能够根据股票市场的波动和地缘政治的不确定性来改善他们的风险回报权衡。

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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THE EFFECTS OF GOLD, STOCK MARKETS AND GEOPOLITICAL UNCERTAINTY ON BITCOIN PRICES AND VOLATILITY

This paper investigates the nexus between Bitcoin, gold and highly innovative uncertainty indices by employing alternative Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) specifications. The period examined covers from March 2012 up to March 2020. Econometric outcomes indicate that Bitcoin returns and volatility are positively influenced by gold returns and the S&P500 volatility index (VIX). Nevertheless, it is revealed that the innovative Geopolitical Risk Index by Caldara and Iacoviello ( 2019 ) exerts negative impacts on Bitcoin markets. Evidence indicates that the Simple Asymmetric ARCH methodology provides the best fit for the purposes of estimations. Our findings cast light on the important aspects of Bitcoin behavior and provide guidance for decision-making about portfolios that contain Bitcoin and gold. This enables economic agents to ameliorate their risk–return trade-off depending on the fluctuations in stock markets and geopolitical uncertainty.

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来源期刊

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.