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比特币在不同市场期限下的避险属性

文章 arXiv papers · 作者: Jamal Bouoiyour et al.
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总结

本文评估比特币能否对冲美国股票指数或充当避险资产，研究动机部分来自比特币在 2016 年美国总统选举后上涨。本文区分对冲与避险资产：对冲资产平均而言与另一资产负相关或弱相关；避险资产则在该资产陷入困境时提供正收益或负收益。分析采用集合经验模态分解这一噪声辅助方法，考察不同时间尺度上的关系。

报告结果显示，比特币的避险行为随时间变化，在短期和长期内总体较弱。研究还报告称，随着黄金和白银与美国股票的关系变化，它们的避险属性在较长期限内会丧失。这些结果提醒人们，不应将比特币或贵金属视为在所有市场状态下都可靠的保护资产。所提供的描述没有详细的样本构建方法、检验统计量或样本外投资组合结果，因此无法确定这些发现如何转化为可用的对冲策略。

核心观点

  • 本文区分了平均对冲行为与另一资产陷入困境时的避险行为。
  • 本文采用集合经验模态分解，研究不同时间尺度下比特币与美国股票指数的关系。
  • 比特币的避险属性随时间变化，据报告，其短期和长期表现总体较弱。
  • 研究发现，黄金和白银的避险属性在较长期限内减弱。
  • 报告的关系本身并不能证明存在可靠的投资组合对冲工具。

标签

加密资产股票波动率风险管理统计学
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# Are Trump and Bitcoin Good Partners?


# Are Trump and Bitcoin Good Partners?









During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on average. The Bitcoin's surge alongside the aftermath of Trump's win in the 2016 U.S. presidential elections has strengthened its status as the modern safe haven. This paper uses a truly noise-assisted data analysis method, termed as Ensemble Empirical Mode Decomposition-based approach, to examine whether Bitcoin can act as a hedge and safe haven for U.S. stock price index. The results document that the Bitcoin's safe-haven property is time-varying and that it has primarily been a weak safe haven in the short term and the long-term. We also demonstrate that precious metals lost their safe haven properties over time as the correlation between gold/silver and U.S. stock price declines from short-to long-run horizons.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。