比特币的对冲和避险属性：它真的不仅仅是一个分散投资的工具吗？

比特币的对冲和避险属性：它真的不仅仅是一个分散投资的工具吗？
Finance Research Letters, Volume 20, 2017, Pages 192-198

作者: Elie Bouri, Peter Molnár, Georges Azzi,
David Roubaud,Lars Ivar Hagfors

摘要：本文利用动态条件相关模型来检验比特币是否可以充当世界主要股票指数、债券、石油、黄金、一般商品指数和美元指数的对冲和避险工具。本文使用从2011年7月至2015年12月的每日和每周的数据。总体而言，实证结果表明，比特币的对冲能力很差，仅适用于多元化目的。但是，比特币能作为抵御亚洲股市每周极端下跌走势的有力避风港。本文还表明，比特币对冲和避险属性在不同的领域有所不同。

On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Abstract: This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the empirical results indicate that Bitcoin is a poor hedge and is suitable for diversification purposes only. However, Bitcoin can only serve as a strong safe haven against weekly extreme down movements in Asian stocks. We also show that Bitcoin hedging and safe haven properties vary between horizons.

翻译：郭昊晟

CAFR区块链应用研究

长按点关注哦~

▼▼▼全文链接请点击“阅读原文”