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检验加密货币相对货币与股票指数的收益稳定性

文章 arXiv papers · 作者: Tatsuru Kikuchi et al.
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总结

本研究考察在 2016 至 2020 的样本期内，比特币、以太坊和瑞波币相对欧元、日元、标普 500 指数和 MSCI 世界指数的日美元收益是否稳定。研究首先去除周期短于一个月的波动，再通过三种方法评估筛选后的日收益之间的关系：皮尔逊相关、用于允许滞后关系的动态时间规整，以及基于 Black-Scholes 模型隐含界限的累计预测误差检验。

作者报告称，样本后期的相关性有所增强，而允许领先和滞后的收益相似性贯穿整个时期。累计误差检验未超出其设定界限，作者据此认为未能拒绝有效市场假说。这些发现针对筛选后的收益以及所选资产和年份；它们无法证明加密货币普遍可作为稳定的记账单位，也不能证明这些关系在样本期外持续存在。摘录未提供详细估计值或稳健性检验。

核心观点

  • 分析比较了三种加密货币筛选后的日收益与主要货币和股票指数。
  • 研究报告称，样本后期的皮尔逊相关性有所增强。
  • 研究使用动态时间规整检测可能存在领先或滞后的收益相似性。
  • 累计预测误差检验未超出基于 Black-Scholes 的界限，因此研究未拒绝有效市场假说。

标签

加密资产统计学股票外汇
全文
# Price Stability of Cryptocurrencies as a Medium of Exchange


# Price Stability of Cryptocurrencies as a Medium of Exchange









We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets. Specifically, after filtering out the less-than-one-month cycles, we investigate the daily returns in US dollars of the major cryptocurrencies (i.e., Bitcoin, Ethereum, and Ripple) as well as their comparators (i.e., major legal tenders, the Euro and Japanese yen, and the major stock indexes, S&P 500 and MSCI World Index). We examine the stability of the filtered daily returns using three different measures. First, the Pearson correlations increased in later years in our sample. Second, based on the dynamic time-warping method that allows lags and leads in relations, the similarities in the daily returns of cryptocurrencies with their comparators have been present even since 2016. Third, we check whether the cumulative sum of errors to predict cryptocurrency prices, assuming stable relations with comparators' daily returns, does not exceeds the bounds implied by the Black-Scholes model. This test, in other words, does not reject the efficient market hypothesis.

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。