在COVID-19大流行期间，加密货币是安全的避风港吗?具有大流行相关基准的阈值回归视角

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-07-01 DOI:10.18559/ebr.2022.2.3

T. Barbu, I. Boitan, Cosmin-Octavian Cepoi

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引用次数: 2

摘要

摘要:本文采用两个COVID-19相关代理条件下的阈值回归框架，研究比特币和以太币在股票和债券市场中是否表现出短期避险或多元化特征。这两种加密货币都为可持续股票市场指数所代表的负责任投资发挥了多元化的作用，为主要债券市场发挥了避险作用，为选择具有代表性的股票市场指数发挥了混合作用。此外，在每日COVID-19病例或死亡人数不断增加的时期，加密货币与主要金融市场决定因素之间的统计关系减弱。

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Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

Abstract The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main financial market determinants weakens.

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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.