Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin

被引：89

作者：

Chan, Wing Hong ^{[1
]}

Minh Le ^{[1
]}

Wu, Yan Wendy ^{[1
]}

机构：

[1] Wilfrid Laurier Univ, Dept Econ, Sch Business & Econ, Waterloo, ON N2L 3C5, Canada

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2019年 / 71卷

关键词：

Bitcoin; Hedge; Risk management; Cryptocurrency; Frequency; Dependent; Frequency decomposition; SAFE HAVEN; GOLD;

D O I：

10.1016/j.qref.2018.07.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：107 / 113

页数：7

共 15 条

[1]

[Anonymous], BITC CLOS PRIC

[2]

[Anonymous], THIS IS PEOPLE ARE B

[3] Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series [J].

Ashley, Richard ;

Verbrugge, Randal J. .

ECONOMETRIC REVIEWS, 2009, 28 (1-3) :4-20

[4] Some stylized facts of the Bitcoin market [J].

Bariviera, Aurelio F. ;

Basgall, Maria Jose ;

Hasperue, Waldo ;

Naiouf, Marcelo .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2017, 484 :82-90

[5] Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold [J].

Baur, Dirk G. ;

Lucey, Brian M. .

FINANCIAL REVIEW, 2010, 45 (02) :217-229

[6] Price dynamics and speculative trading in bitcoin [J].

Blau, Benjamin M. .

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2017, 41 :493-499

[7] MODELING THE COHERENCE IN SHORT-RUN NOMINAL EXCHANGE-RATES - A MULTIVARIATE GENERALIZED ARCH MODEL [J].

BOLLERSLEV, T .

REVIEW OF ECONOMICS AND STATISTICS, 1990, 72 (03) :498-505

[8] On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? [J].

Bouri, Elie ;

Molnar, Peter ;

Azzi, Georges ;

Roubaud, David ;

Hagfors, Lars Ivar .

FINANCE RESEARCH LETTERS, 2017, 20 :192-198

[9] Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin [J].

Cheah, Eng-Tuck ;

Fry, John .

ECONOMICS LETTERS, 2015, 130 :32-36

[10] Hedging capabilities of bitcoin. Is it the virtual gold? [J].

Dyhrberg, Anne Haubo .

FINANCE RESEARCH LETTERS, 2016, 16 :139-144

← 1 2 →